[Callbacks] TST Add tests to check that all callback hooks are called in the expected order

see https://github.com/scikit-learn/scikit-learn/pull/28760#discussion_r2817829681
related to https://github.com/scikit-learn/scikit-learn/issues/27676

Let's add tests to check the sequence of calls of callback hooks and make sure it follows the expected order (i.e. the order in which we traverse the callback context tree).

ping @FrancoisPgm 