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.

tests/python/test_with_sklearn.py

@@ -1349,10 +1349,11 @@ def test_multilabel_classification() -> None:
     np.testing.assert_allclose(clf.predict(X), predt)
 
 
-def test_data_initialization():
+def test_data_initialization() -> None:
     from sklearn.datasets import load_digits
+
     X, y = load_digits(return_X_y=True)
-    validate_data_initialization(xgb.DMatrix, xgb.XGBClassifier, X, y)
+    validate_data_initialization(xgb.QuantileDMatrix, xgb.XGBClassifier, X, y)
 
 
 @parametrize_with_checks([xgb.XGBRegressor()])