[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.

doc/tutorials/external_memory.rst

@@ -77,7 +77,7 @@ The external memory version takes in the following `URI <https://en.wikipedia.or
 
 .. code-block:: none
 
-  filename#cacheprefix
+  filename?format=libsvm#cacheprefix
 
 The ``filename`` is the normal path to LIBSVM format file you want to load in, and
 ``cacheprefix`` is a path to a cache file that XGBoost will use for caching preprocessed
@@ -97,13 +97,13 @@ you have a dataset stored in a file similar to ``agaricus.txt.train`` with LIBSV
 
 .. code-block:: python
 
-  dtrain = DMatrix('../data/agaricus.txt.train#dtrain.cache')
+  dtrain = DMatrix('../data/agaricus.txt.train?format=libsvm#dtrain.cache')
 
 XGBoost will first load ``agaricus.txt.train`` in, preprocess it, then write to a new file named
 ``dtrain.cache`` as an on disk cache for storing preprocessed data in an internal binary format.  For
 more notes about text input formats, see :doc:`/tutorials/input_format`.
 
-For CLI version, simply add the cache suffix, e.g. ``"../data/agaricus.txt.train#dtrain.cache"``.
+For CLI version, simply add the cache suffix, e.g. ``"../data/agaricus.txt.train?format=libsvm#dtrain.cache"``.
 
 
 **********************************