Export c++ headers in CMake installation. (#4897)

* Move get transpose into cc.

* Clean up headers in host device vector, remove thrust dependency.

* Move span and host device vector into public.

* Install c++ headers.

* Short notes for c and c++.

Co-Authored-By: Philip Hyunsu Cho <chohyu01@cs.washington.edu>

doc/c++.rst

@@ -0,0 +1,12 @@
+###############
+XGBoost C++ API
+###############
+
+Starting from 1.0 release, CMake will generate installation rules to export all C++ headers. But
+the c++ interface is much closer to the internal of XGBoost than other language bindings.
+As a result it's changing quite often and we don't maintain its stability.  Along with the
+plugin system (see ``plugin/example`` in XGBoost's source tree), users can utilize some
+existing c++ headers for gaining more access to the internal of XGBoost.
+
+* `C++ interface documentation (latest master branch) <https://xgboost.readthedocs.io/en/latest/dev/files.html>`_
+* `C++ interface documentation (last stable release) <https://xgboost.readthedocs.io/en/stable/dev/files.html>`_