Refactor rabit tests (#6096)

* Merge rabit tests into XGBoost.
* Run them On CI.
* Simplification for CMake scripts.

tests/cpp/rabit/test_utils.cc

@@ -0,0 +1,6 @@
+#include <gtest/gtest.h>
+#include <rabit/internal/utils.h>
+
+TEST(Utils, Assert) {
+  EXPECT_THROW({rabit::utils::Assert(false, "foo");}, dmlc::Error);
+}