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.

python-package/xgboost/dask.py

@@ -600,6 +600,7 @@ class DaskXGBRegressor(DaskScikitLearnBase):
         results = train(self.client, params, dtrain,
                         num_boost_round=self.get_num_boosting_rounds(),
                         evals=evals)
+        # pylint: disable=attribute-defined-outside-init
         self._Booster = results['booster']
         # pylint: disable=attribute-defined-outside-init
         self.evals_result_ = results['history']