[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_updaters.py

@@ -154,9 +154,7 @@ class TestTreeMethod:
 
     def test_hist_categorical(self):
         # hist must be same as exact on all-categorial data
-        dpath = 'demo/data/'
-        ag_dtrain = xgb.DMatrix(dpath + 'agaricus.txt.train')
-        ag_dtest = xgb.DMatrix(dpath + 'agaricus.txt.test')
+        ag_dtrain, ag_dtest = tm.load_agaricus(__file__)
         ag_param = {'max_depth': 2,
                     'tree_method': 'hist',
                     'eta': 1,