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/cpp/rabit/test_io.cc

@@ -1,18 +0,0 @@
-/*!
- *  Copyright (c) 2019 by Contributors
- */
-#include <gtest/gtest.h>
-#include <rabit/internal/io.h>
-
-#include <vector>
-
-namespace rabit {
-TEST(MemoryFixSizeBuffer, Seek) {
-  size_t constexpr kSize { 64 };
-  std::vector<int32_t> memory( kSize );
-  utils::MemoryFixSizeBuffer buf(memory.data(), memory.size());
-  buf.Seek(utils::MemoryFixSizeBuffer::kSeekEnd);
-  size_t end = buf.Tell();
-  ASSERT_EQ(end, kSize);
-}
-}  // namespace rabit