Fix config-settings handling in pip install (#9115)

* Fix config_settings handling in pip install

* Fix formatting

* Fix flag use_system_libxgboost

* Add setuptools to doc requirements.txt

* Fix mypy

.github/workflows/python_tests.yml

@@ -66,7 +66,7 @@ jobs:
         cd python-package
         python --version
         python -m build --sdist
-        pip install -v ./dist/xgboost-*.tar.gz
+        pip install -v ./dist/xgboost-*.tar.gz --config-settings use_openmp=False
         cd ..
         python -c 'import xgboost'