## What changes were proposed in this pull request?

Add warning_for the following case when LBFGS training not actually convergence:

1) LogisticRegression
2) AFTSurvivalRegression
3) LBFGS algorithm wrapper in mllib package

## How was this patch tested?

N/A

Author: WeichenXu <WeichenXu123@outlook.com>

Closes #14157 from WeichenXu123/add_lbfgs_convergence_warning_for_all_used_place.