[train] Simplify ray.train.xgboost/lightgbm (4/n): Remove xgboost_ray and lightgbm_ray dependencies (for premerge CI)

[justinvyu]

Why are these changes needed?

This PR removes xgboost_ray and lightgbm_ray dependencies from ray train/tune. This includes removing the dependency from CI requirements, removing the legacy trainers, and removing tests that involve the external library.

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• I've included any doc changes needed for https://docs.ray.io/en/master/.
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    method in Tune, I've added it in doc/source/tune/api/ under the
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• Testing Strategy
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[woshiyyya]

Nice Cleanup!

[woshiyyya]

Are these deprecation related to lightgbm/xgboost or just d it casually?

[justinvyu]

This is due to xgboost_ray having a dependency on ray.tune.trainable.session.is_session_enabled. That was blocking this module from being removed, and it's already been hard-deprecated for a few releases. Now that the external dependency is gone, we can delete.