[CI] Test federated learning plugin in the CI (#8325)

tests/ci_build/Dockerfile.cpu

@@ -26,6 +26,15 @@ ENV CPP=cpp-8
 ENV GOSU_VERSION 1.10
 ENV JAVA_HOME /usr/lib/jvm/java-8-openjdk-amd64/
 
+# Install gRPC
+RUN git clone -b v1.49.1 https://github.com/grpc/grpc.git \
+      --recurse-submodules --depth 1 --shallow-submodules && \
+    pushd grpc && \
+    cmake -S . -B build -GNinja -DCMAKE_INSTALL_PREFIX=/opt/grpc && \
+    cmake --build build --target install && \
+    popd && \
+    rm -rf grpc
+
 # Create new Conda environment
 COPY conda_env/cpu_test.yml /scripts/
 RUN mamba env create -n cpu_test --file=/scripts/cpu_test.yml