Add to documentation how to run tests locally (#4610)

* Add to documentation how to build native unit tests

* Add instructions to run Python tests and to use Docker container [skip ci]

* Fix link to pytest chapter

* Add link to Google Test [skip ci]

* Set PYTHONPATH [skip ci]

* Revise test_python.sh for running tests locally

* Update test_python.sh

* Place Docker recommendation notice in a prominent place [skip ci]

tests/ci_build/test_python.sh

@@ -8,9 +8,12 @@ suite=$1
 wheel_found=0
 for file in python-package/dist/*.whl
 do
-  pip install --user ${file}
-  wheel_found=1
-  break  # need just one
+  if [ -e "${file}" ]
+  then
+    pip install --user "${file}"
+    wheel_found=1
+    break  # need just one
+  fi
 done
 if [ "$wheel_found" -eq 0 ]
 then