[python-package] Add unit test for Dataset.set_field and no data (#7036)

Author: thomasjpfan

tests/python_package_test/test_basic.py

@@ -1017,3 +1017,16 @@ def test_equal_datasets_from_one_and_several_matrices_w_different_layouts(rng, t
     lgb.Dataset(mat)._dump_text(one_path)
 
     assert filecmp.cmp(one_path, several_path)
+
+
+def test_set_field_none_removes_field(rng):
+    X1 = rng.uniform(size=(10, 1))
+    d1 = lgb.Dataset(X1).construct()
+    weight = rng.uniform(size=10)
+    out = d1.set_field("weight", weight)
+    assert out is d1
+
+    np.testing.assert_allclose(d1.get_field("weight"), weight)
+
+    d1.set_field("weight", None)
+    assert d1.get_field("weight") is None