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After looking into it, I found the root of the issue - there was an undocumented change from v4.0.0 -> v4.1.0, where the categorical_feature argument of Dataset only accepts lists, and no longer allows tuples. Converting cat_idx to a list when fitting the model fixes this issue.
To reproduce it, try to run notebook "multi_obj_with_constraints" with the newest version of lightgbm.
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