Consistent use of context to specify number of threads. (#8733)

- Use context in all tests.
- Use context in R.
- Use context in C API DMatrix initialization. (0 threads is used as dft).

tests/cpp/common/test_transform_range.cc

@@ -1,5 +1,5 @@
-/*!
- * Copyright 2018-2022 by XGBoost Contributors
+/**
+ * Copyright 2018-2023 by XGBoost Contributors
  */
 #include <gtest/gtest.h>
 #include <xgboost/base.h>
@@ -45,7 +45,7 @@ TEST(Transform, DeclareUnifiedTest(Basic)) {
   out_vec.Fill(0);
 
   Transform<>::Init(TestTransformRange<bst_float>{},
-                    Range{0, static_cast<Range::DifferenceType>(size)}, common::OmpGetNumThreads(0),
+                    Range{0, static_cast<Range::DifferenceType>(size)}, AllThreadsForTest(),
                     TRANSFORM_GPU)
       .Eval(&out_vec, &in_vec);
   std::vector<bst_float> res = out_vec.HostVector();
@@ -61,8 +61,8 @@ TEST(TransformDeathTest, Exception) {
   EXPECT_DEATH(
       {
         Transform<>::Init([](size_t idx, common::Span<float const> _in) { _in[idx + 1]; },
-                          Range(0, static_cast<Range::DifferenceType>(kSize)),
-                          common::OmpGetNumThreads(0), -1)
+                          Range(0, static_cast<Range::DifferenceType>(kSize)), AllThreadsForTest(),
+                          -1)
             .Eval(&in_vec);
       },
       "");