[CI] Improve R linter script (#5944)

* [CI] Move lint to a separate script

* [CI] Improved lintr launcher

* Add lintr as a separate action

* Add custom parsing logic to print out logs

* Fix lintr issues in demos

* Run R demos

* Fix CRAN checks

* Install XGBoost into R env before running lintr

* Install devtools (needed to run demos)

tests/ci_build/test_r_package.py

@@ -46,6 +46,10 @@ def test_with_autotools(args):
             'R.exe', '-q', '-e',
             "library(testthat); setwd('tests'); source('testthat.R')"
         ])
+        subprocess.check_call([
+            'R.exe', '-q', '-e',
+            "demo(runall, package = 'xgboost')"
+        ])
 
 
 def test_with_cmake(args):
@@ -79,6 +83,10 @@ def test_with_cmake(args):
             'R.exe', '-q', '-e',
             "library(testthat); setwd('tests'); source('testthat.R')"
         ])
+        subprocess.check_call([
+            'R.exe', '-q', '-e',
+            "demo(runall, package = 'xgboost')"
+        ])
 
 
 def main(args):