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/data/test_iterative_dmatrix.cc

@@ -1,13 +1,16 @@
-/*!
- * Copyright 2022 XGBoost contributors
+/**
+ * Copyright 2022-2023 by XGBoost contributors
  */
 #include "test_iterative_dmatrix.h"
 
 #include <gtest/gtest.h>
+#include <limits>
+#include <memory>
 
 #include "../../../src/data/gradient_index.h"
 #include "../../../src/data/iterative_dmatrix.h"
 #include "../helpers.h"
+#include "xgboost/data.h"  // DMatrix
 
 namespace xgboost {
 namespace data {
@@ -20,8 +23,10 @@ TEST(IterativeDMatrix, IsDense) {
   int n_bins = 16;
   auto test = [n_bins](float sparsity) {
     NumpyArrayIterForTest iter(sparsity);
+    auto n_threads = 0;
     IterativeDMatrix m(&iter, iter.Proxy(), nullptr, Reset, Next,
-                       std::numeric_limits<float>::quiet_NaN(), 0, n_bins);
+                       std::numeric_limits<float>::quiet_NaN(), n_threads, n_bins);
+    ASSERT_EQ(m.Ctx()->Threads(), AllThreadsForTest());
     if (sparsity == 0.0) {
       ASSERT_TRUE(m.IsDense());
     } else {