[jvm-packages] throw exception when tree_method=approx and device=cuda (#9478)

---------

Co-authored-by: Jiaming Yuan <jm.yuan@outlook.com>

jvm-packages/xgboost4j-spark/src/test/scala/ml/dmlc/xgboost4j/scala/spark/ParameterSuite.scala

@@ -92,4 +92,15 @@ class ParameterSuite extends AnyFunSuite with PerTest with BeforeAndAfterAll {
       classifier.getBaseScore
     }
   }
+
+  test("approx can't be used for gpu train") {
+    val paramMap = Map("tree_method" -> "approx", "device" -> "cuda")
+    val trainingDF = buildDataFrame(MultiClassification.train)
+    val xgb = new XGBoostClassifier(paramMap)
+    val thrown = intercept[IllegalArgumentException] {
+      xgb.fit(trainingDF)
+    }
+    assert(thrown.getMessage.contains("The tree method \"approx\" is not yet supported " +
+      "for Spark GPU cluster"))
+  }
 }