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Yes, SageMaker is an end to end service covering data labeling, data preparation, model training, model deployment, model monitoring, etc. This recent video will give you a grand hands-on tour of SageMaker: https://www.twitch.tv/aws/video/929163653. Training and deployment is based on Docker containers, either built-in (algorithms and open source frameworks) or your own. With respect to LightGBM, you can easily start from the built-in scikit-learn container, and add LightGBM to it. Here's a complete example: https://github.com/awslabs/sagemaker-explaining-credit-decisions.
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