Optional find dependency in installed cmake config. (#7099)

* Find dependency only when xgboost is built as static library.
* Resolve msvc warning.
* Add test for linking shared library.

tests/ci_build/verify_link.sh

@@ -0,0 +1,18 @@
+# Make sure the dependencies of XGBoost don't appear in directly downstream project.
+# Pass the executable as argument for this script
+
+if readelf -d $1 | grep "omp";
+then
+    echo "Found openmp in direct dependency"
+    exit -1
+else
+    exit 0
+fi
+
+if readelf -d $1 | grep "pthread";
+then
+    echo "Found pthread in direct dependency"
+    exit -1
+else
+    exit 0
+fi