[Breaking] Remove learning_rates in Python. (#5155)

* Remove `learning_rates`.

It's been deprecated since we have callback.

* Set `before_iteration` of `reset_learning_rate` to False to preserve 
  the initial learning rate, and comply to the term "reset".

Closes #4709.

* Tests for various `tree_method`.

tests/python-gpu/test_gpu_basic_models.py

@@ -0,0 +1,14 @@
+import sys
+import unittest
+import numpy as np
+sys.path.append("tests/python")
+# Don't import the test class, otherwise they will run twice.
+import test_basic_models as test_bm  # noqa
+rng = np.random.RandomState(1994)
+
+
+class TestGPUBasicModels(unittest.TestCase):
+    cputest = test_bm.TestModels()
+
+    def test_eta_decay_gpu_hist(self):
+        self.cputest.run_eta_decay('gpu_hist')