Lightgbm: [R-package] Windows R 4.0 jobs fail after "Building R Package"

[jameslamb]

Error on Windows + MSVC + R 4.0 job

See for example https://github.com/microsoft/LightGBM/pull/3000/checks?check_run_id=811619463

Some R CI jobs on GitHub Actions are failing at this step:

The downloaded binary packages are in
    C:\Users\runneradmin\AppData\Local\Temp\Rtmpi08q9C\downloaded_packages
Building R package
##[error]Process completed with exit code 1.

Error on Windows + MINGW + R4.0 job

See for example https://github.com/microsoft/LightGBM/pull/3000/checks?check_run_id=811619438

[jameslamb]

see the description in #3168 for some background on challenges we have faced with Windows R jobs on GitHub Actions before.

[jameslamb]

Next I tried checking thatt this is happening on all PRs. It seems it is:

#3190 - YES

#3189 - YES and more issues

MINGW R 3.6 and R 4.0 jobs

The downloaded binary packages are in
    C:\Users\runneradmin\AppData\Local\Temp\Rtmp8iTE0D\downloaded_packages
Downloading https://ctan.math.illinois.edu/systems/win32/miktex/setup/windows-x64//miktexsetup-2.9.7442-x64.zip
Setting up MiKTeX
miktexsetup.exe: The remote package repository is outdated. You have to choose another repository.
miktexsetup.exe: Data: url="https://ctan.math.illinois.edu/systems/win32/miktex/tm/packages/"
##[error]Process completed with exit code -1.

MSVC R 4.0 job

#3174 - YES

[jameslamb]

I've opened a pull request on my fork where I'm exploring this: https://github.com/jameslamb/LightGBM/pull/32