[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.

tests/python/test_interaction_constraints.py

@@ -88,8 +88,12 @@ class TestInteractionConstraints:
     def training_accuracy(self, tree_method):
         """Test accuracy, reused by GPU tests."""
         from sklearn.metrics import accuracy_score
-        dtrain = xgboost.DMatrix(dpath + 'agaricus.txt.train?indexing_mode=1')
-        dtest = xgboost.DMatrix(dpath + 'agaricus.txt.test?indexing_mode=1')
+        dtrain = xgboost.DMatrix(
+            dpath + "agaricus.txt.train?indexing_mode=1&format=libsvm"
+        )
+        dtest = xgboost.DMatrix(
+            dpath + "agaricus.txt.test?indexing_mode=1&format=libsvm"
+        )
         params = {
             'eta': 1,
             'max_depth': 6,