Fix external memory for get column batches. (#4622)

* Fix external memory for get column batches.

This fixes two bugs:

* Use PushCSC for get column batches.
* Don't remove the created temporary directory before finishing test.

* Check all pages.

tests/cpp/helpers.h

@@ -163,7 +163,8 @@ class SimpleRealUniformDistribution {
 std::shared_ptr<xgboost::DMatrix> *CreateDMatrix(int rows, int columns,
                                                  float sparsity, int seed = 0);
 
-std::unique_ptr<DMatrix> CreateSparsePageDMatrix(size_t n_entries, size_t page_size);
+std::unique_ptr<DMatrix> CreateSparsePageDMatrix(
+    size_t n_entries, size_t page_size, std::string tmp_file);
 
 /**
  * \fn std::unique_ptr<DMatrix> CreateSparsePageDMatrixWithRC(size_t n_rows, size_t n_cols,