MLlib Python API parity check for Regression, major disparities need to be added for Python list following:
```scala
LinearRegressionWithSGD
    setValidateData
LassoWithSGD
    setIntercept
    setValidateData
RidgeRegressionWithSGD
    setIntercept
    setValidateData
```
setFeatureScaling is mllib private function which is not needed to expose in pyspark.

Author: Yanbo Liang <ybliang8@gmail.com>

Closes #4997 from yanboliang/spark-6256 and squashes the following commits:

102f498 [Yanbo Liang] fix intercept issue & add doc test
1fb7b4f [Yanbo Liang] change 'intercept' to 'addIntercept'
de5ecbc [Yanbo Liang] MLlib Python API parity check for regression