Save Scikit-Learn attributes into learner attributes. (#5245)

* Remove the recommendation for pickle.

* Save skl attributes in booster.attr

* Test loading scikit-learn model with native booster.

src/common/io.h

@@ -52,7 +52,7 @@ class PeekableInStream : public dmlc::Stream {
 class FixedSizeStream : public PeekableInStream {
  public:
   explicit FixedSizeStream(PeekableInStream* stream);
-  ~FixedSizeStream() = default;
+  ~FixedSizeStream() override = default;
 
   size_t Read(void* dptr, size_t size) override;
   size_t PeekRead(void* dptr, size_t size) override;