[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_interaction_constraints.py

@@ -3,7 +3,7 @@ import unittest
 import sys
 sys.path.append("tests/python")
 # Don't import the test class, otherwise they will run twice.
-import test_interaction_constraints as test_ic
+import test_interaction_constraints as test_ic  # noqa
 rng = np.random.RandomState(1994)