Move pylint helper from dmlc-core. (#8101)

* Move pylint helper from dmlc-core.

- Move the helper into the XGBoost ci_build.
- Run it with multiprocessing.

* Fix original test.

.github/workflows/main.yml

@@ -129,7 +129,7 @@ jobs:
 
   lint:
     runs-on: ubuntu-latest
-    name: Code linting for Python and C++
+    name: Code linting for C++
     steps:
     - uses: actions/checkout@v2
       with:
@@ -140,11 +140,10 @@ jobs:
         architecture: 'x64'
     - name: Install Python packages
       run: |
-        python -m pip install wheel setuptools
-        python -m pip install pylint cpplint numpy scipy scikit-learn pyspark pandas cloudpickle
+        python -m pip install wheel setuptools cpplint pylint
     - name: Run lint
       run: |
-        make lint
+        LINT_LANG=cpp make lint
 
   doxygen:
     runs-on: ubuntu-latest