Fix loading old logit model, helper for converting old pickle. (#5281)

* Fix loading old logit model.
* Add a helper script for converting old pickle file.
* Add version as a model parameter.
* Remove the size check in R test to relax the size constraint.
* Add missing R doc for passing linting. Run devtools.
* Cleanup old model IO logic.
* Test compatibility on CI.
* Make the argument as required.

include/xgboost/learner.h

@@ -208,6 +208,8 @@ struct LearnerModelParam {
   // As the old `LearnerModelParamLegacy` is still used by binary IO, we keep
   // this one as an immutable copy.
   LearnerModelParam(LearnerModelParamLegacy const& user_param, float base_margin);
+  /* \brief Whether this parameter is initialized with LearnerModelParamLegacy. */
+  bool Initialized() const { return num_feature != 0; }
 };
 
 }  // namespace xgboost