[R] Address warnings to comply with CRAN submission policy (#5600)

* [R] Address warnings to comply with CRAN submission policy

* Include <xgboost/logging.h>

include/xgboost/span.h

@@ -30,6 +30,7 @@
 #define XGBOOST_SPAN_H_
 
 #include <xgboost/base.h>
+#include <xgboost/logging.h>
 
 #include <cinttypes>          // size_t
 #include <limits>             // numeric_limits
@@ -85,9 +86,11 @@ namespace common {
     }                                                                          \
   } while (0);
 
-#ifdef __CUDA_ARCH__
+#if defined(__CUDA_ARCH__)
 #define SPAN_CHECK KERNEL_CHECK
-#else
+#elif defined(XGBOOST_STRICT_R_MODE) && XGBOOST_STRICT_R_MODE == 1  // R package
+#define SPAN_CHECK CHECK  // check from dmlc
+#else  // not CUDA, not R
 #define SPAN_CHECK(cond)                                                       \
   do {                                                                         \
     if (XGBOOST_EXPECT(!(cond), false)) {                                      \