Handle the new device parameter in dask and demos. (#9386)

* Handle the new `device` parameter in dask and demos.

- Check no ordinal is specified in the dask interface.
- Update demos.
- Update dask doc.
- Update the condition for QDM.

src/common/error_msg.cc

@@ -3,10 +3,18 @@
  */
 #include "error_msg.h"
 
+#include <sstream>  // for stringstream
+
 #include "../collective/communicator-inl.h"  // for GetRank
 #include "xgboost/logging.h"
 
 namespace xgboost::error {
+std::string DeprecatedFunc(StringView old, StringView since, StringView replacement) {
+  std::stringstream ss;
+  ss << "`" << old << "` is deprecated since" << since << ", use `" << replacement << "` instead.";
+  return ss.str();
+}
+
 void WarnDeprecatedGPUHist() {
   auto msg =
       "The tree method `gpu_hist` is deprecated since 2.0.0. To use GPU training, set the `device` "
@@ -34,8 +42,9 @@ void WarnDeprecatedGPUId() {
   if (logged) {
     return;
   }
-  LOG(WARNING) << "`gpu_id` is deprecated in favor of the new `device` parameter: "
-               << "device = cpu/cuda/cuda:0";
+  auto msg = DeprecatedFunc("gpu_id", "2.0.0", "device");
+  msg += " E.g. device=cpu/cuda/cuda:0";
+  LOG(WARNING) << msg;
   logged = true;
 }
 

src/common/error_msg.h

@@ -8,6 +8,7 @@
 
 #include <cinttypes>  // for uint64_t
 #include <limits>     // for numeric_limits
+#include <string>     // for string
 
 #include "xgboost/base.h"  // for bst_feature_t
 #include "xgboost/logging.h"
@@ -86,5 +87,7 @@ void WarnManualUpdater();
 void WarnDeprecatedGPUId();
 
 void WarnEmptyDataset();
+
+std::string DeprecatedFunc(StringView old, StringView since, StringView replacement);
 }  // namespace xgboost::error
 #endif  // XGBOOST_COMMON_ERROR_MSG_H_