Use Booster context in DMatrix. (#8896)

- Pass context from booster to DMatrix.
- Use context instead of integer for `n_threads`.
- Check the consistency configuration for `max_bin`.
- Test for all combinations of initialization options.

tests/cpp/data/test_iterative_dmatrix.cc

@@ -15,8 +15,9 @@
 namespace xgboost {
 namespace data {
 TEST(IterativeDMatrix, Ref) {
+  Context ctx;
   TestRefDMatrix<GHistIndexMatrix, NumpyArrayIterForTest>(
-      [&](GHistIndexMatrix const& page) { return page.cut; });
+      &ctx, [&](GHistIndexMatrix const& page) { return page.cut; });
 }
 
 TEST(IterativeDMatrix, IsDense) {