[R-package] fix protection stack imbalance and unprotected objects (f…

…ixes #4390) (#4391)

* [R-package] fix protection stack imbalance and unprotected objects issues

* [R-package] fix minor linting issues

* [ci][R-package] change timeout-minutes in valgrind test

* [R-package] remove extra space

Co-authored-by: James Lamb <jaylamb20@gmail.com>

* [R-package] remove counter for number of protected objects

* Update .github/workflows/r_valgrind.yml

Co-authored-by: James Lamb <jaylamb20@gmail.com>