[Breaking] Require format to be specified in input URI. (#9077)

Previously, we use `libsvm` as default when format is not specified. However, the dmlc
data parser is not particularly robust against errors, and the most common type of error
is undefined format.

Along with which, we will recommend users to use other data loader instead. We will
continue the maintenance of the parsers as it's currently used for many internal tests
including federated learning.

demo/CLI/binary_classification/mushroom.conf

@@ -20,10 +20,10 @@ num_round = 2
 # 0 means do not save any model except the final round model
 save_period = 2
 # The path of training data
-data = "agaricus.txt.train"
+data = "agaricus.txt.train?format=libsvm"
 # The path of validation data, used to monitor training process, here [test] sets name of the validation set
-eval[test] = "agaricus.txt.test"
+eval[test] = "agaricus.txt.test?format=libsvm"
 # evaluate on training data as well each round
 eval_train = 1
 # The path of test data
-test:data = "agaricus.txt.test"
+test:data = "agaricus.txt.test?format=libsvm"