[CI] Pin libomp to 11.1.0 (#7107)

.github/workflows/main.yml

@@ -21,7 +21,10 @@ jobs:
         submodules: 'true'
     - name: Install system packages
       run: |
+        # Use libomp 11.1.0: https://github.com/dmlc/xgboost/issues/7039
+        wget https://raw.githubusercontent.com/Homebrew/homebrew-core/679923b4eb48a8dc7ecc1f05d06063cd79b3fc00/Formula/libomp.rb -O $(find $(brew --repository) -name libomp.rb)
         brew install ninja libomp
+        brew pin libomp
     - name: Build gtest binary
       run: |
         mkdir build
@@ -31,9 +34,7 @@ jobs:
     - name: Run gtest binary
       run: |
         cd build
-        # libomp internal error:
-        #   OMP: Error #131: Thread identifier invalid.
-        ./testxgboost  --gtest_filter="-HistIndexCreationWithExternalMemory.Test"
+        ./testxgboost
         ctest -R TestXGBoostCLI --extra-verbose
 
   gtest-cpu-nonomp: