[docs] Add scikit-learn for intersphinx (fixes #5954) #7009

Job	Run time
r-package (debian, R-devel, clang)	19m 32s
r-package (ubuntu-latest, gcc, R 3.6, cmake)	12m 49s
r-package (ubuntu-latest, gcc, R 4.2, cmake)	18m 16s
r-package (ubuntu-latest, clang, R 3.6, cmake)	12m 13s
r-package (ubuntu-latest, clang, R 4.2, cmake)	14m 8s
r-package (macOS-latest, gcc, R 4.2, cmake)	16m 47s
r-package (macOS-latest, clang, R 4.2, cmake)	16m 54s
r-package (windows-latest, MINGW, R 3.6, cmake)	13m 7s
r-package (windows-latest, MINGW, R 4.2, cmake)	17m 29s
r-package (windows-2019, MSVC, R 3.6, cmake)	11m 40s
r-package (windows-2022, MSVC, R 4.2, cmake)	15m 9s
r-package (windows-latest, MINGW, R 3.6, cran)	26m 56s
r-package (windows-latest, MINGW, R 4.2, cran)	27m 45s
r-package (ubuntu-latest, gcc, R 4.2, cran)	21m 38s
r-package (macOS-latest, clang, R 4.2, cran)	26m 30s
r-rchk (ubuntu-latest, gcc, R 4.2, cran)	16m 24s
r-sanitizers (ubuntu-latest, R-devel, gcc ASAN/UBSAN)	23m 48s
r-sanitizers (ubuntu-latest, R-devel, clang ASAN/UBSAN)	35m 29s
all-r-package-jobs-successful	2s
	5h 46m 36s

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