Update documents and tests. (#7659)

* Revise documents after recent refactoring and cat support.
* Add tests for behavior of max_depth and max_leaves.

src/tree/updater_colmaker.cc

@@ -174,6 +174,8 @@ class ColMaker: public TreeUpdater {
       std::vector<int> newnodes;
       this->InitData(gpair, *p_fmat);
       this->InitNewNode(qexpand_, gpair, *p_fmat, *p_tree);
+      // We can check max_leaves too, but might break some grid searching pipelines.
+      CHECK_GT(param_.max_depth, 0) << "exact tree method doesn't support unlimited depth.";
       for (int depth = 0; depth < param_.max_depth; ++depth) {
         this->FindSplit(depth, qexpand_, gpair, p_fmat, p_tree);
         this->ResetPosition(qexpand_, p_fmat, *p_tree);