refactor: Improve LightGBM Network logs

[svotaw]

Just some better log/excpetion handling for network issues to give more diagnostic information

[github-actions]

Hey @svotaw 👋!
Thank you so much for contributing to our repository 🙌.
Someone from SynapseML Team will be reviewing this pull request soon.

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[svotaw]

/azp run

[azure-pipelines]

Azure Pipelines successfully started running 1 pipeline(s).

[codecov-commenter]

Codecov Report

Merging #2124 (9b3bc4a) into master (a187cd0) will decrease coverage by 0.09%.
The diff coverage is 25.00%.

@@            Coverage Diff             @@
##           master    #2124      +/-   ##
==========================================
- Coverage   86.23%   86.15%   -0.09%     
==========================================
  Files         312      312              
  Lines       16466    16470       +4     
  Branches     1452     1458       +6     
==========================================
- Hits        14200    14189      -11     
- Misses       2266     2281      +15     

Files	Coverage Δ
...oft/azure/synapse/ml/lightgbm/NetworkManager.scala	90.37% <25.00%> (-1.43%)	⬇️

... and 5 files with indirect coverage changes