Currently, the C++ compiler generates lots of warnings: https://xgboost-ci.net/blue/organizations/jenkins/xgboost/detail/master/516/pipeline/61. It would be great to reduce the number of warnings.

Note to new contributors: Post a comment here if you'd like to work on this issue. Feel free to ping me for help.

Description of the problem

As of the changes in #3160 , builds of the CRAN version of the R package with gcc now raise "unknown pragma" warnings.

CRAN does not allow the use of -Wunknown-pragmas to suppress such warnings, so we remove them with sed when building the R package.

The "bug" here is that LightGBM's CI did not catch this. That should also be fixed.

How to fix thi

Problem:
catboost version: 0.23.2
Operating System: all
Tutorial: https://github.com/catboost/tutorials/blob/master/custom_loss/custom_metric_tutorial.md

Impossible to use custom metric (С++).

Code example

from catboost import CatBoost
train_data = [[1, 4, 5, 6],