[docs] clarify that categorical features will be converted to integers internally

[jmoralez]

Emphasizes that categorical features will be converted to int internally, to avoid the confusion that they should be provided as integers in the input data, as was asked in #4932. Also adds information on what will happen if negative values are found.

Here's how that section looks like:

Closes #4932.

[StrikerRUS]

I think there are more places where this clarification should be made for the consistency in docs. See #1567 for example.

[shiyu1994]

Close and reopen to retrigger ci tests.

[StrikerRUS]

@jmoralez I'm very sorry, I just merged #5009 and only after doing that I noticed that these two PRs conflict with each other. Could you please resolve conflicts?

[jmoralez]

Haha no worries

[shiyu1994]

@jmoralez Thank you for doing this. Could you please rerun this script (https://github.com/microsoft/LightGBM/blob/master/helpers/parameter_generator.py)
so that the changes in config.h can be reflected on the documentation files.
Changes in the documentation files should also be updated to this branch to pass the static checks.

[jmoralez]

Thanks @shiyu1994. I didin't know I had to change the config.h file. Done in 349f797.

[StrikerRUS]

Please check my comments below:

[StrikerRUS]

Thanks for this clarification!

[github-actions]

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