Mitigate flaky data iter test. (#8244)

- Reduce the number of batches.
- Verify labels.

tests/python/test_data_iterator.py

@@ -92,6 +92,12 @@ def run_data_iterator(
         assert non_increasing(results_from_it["Train"]["rmse"])
 
     X, y, w = it.as_arrays()
+    if use_cupy:
+        _y = y.get()
+    else:
+        _y = y
+    np.testing.assert_allclose(Xy.get_label(), _y)
+
     Xy = xgb.DMatrix(X, y, weight=w)
     assert Xy.num_row() == n_samples_per_batch * n_batches
     assert Xy.num_col() == n_features