[R] Fix CRAN test notes. (#8428)

- Limit the number of used CPU cores in examples.
- Add a note for the constraint.
- Bring back the cleanup script.

R-package/man/xgb.DMatrix.save.Rd

@@ -16,7 +16,7 @@ Save xgb.DMatrix object to binary file
 }
 \examples{
 data(agaricus.train, package='xgboost')
-dtrain <- with(agaricus.train, xgb.DMatrix(data, label = label))
+dtrain <- with(agaricus.train, xgb.DMatrix(data, label = label, nthread = 2))
 xgb.DMatrix.save(dtrain, 'xgb.DMatrix.data')
 dtrain <- xgb.DMatrix('xgb.DMatrix.data')
 if (file.exists('xgb.DMatrix.data')) file.remove('xgb.DMatrix.data')