Run C++ tests in CI; extend C++ tests

[constantinpape]

The work @gdkrmr is doing to make his R-bindings uncovers several minor issues in the C++ API, e.g. #156, #154.
The reason this went unnoticed for some time is that C++ tests are currently lacking and are not build / executed in the CI. My current policy was to focus on the python tests, in the hope that this would cover the C++ side as well.

I see now that this approach causes to overlook these smaller issues, so the C++ tests should be run in CI again and possibly also be extended.