[coll] Improve event loop. (#10199)

- Add a test for blocking calls.
- Do not require the queue to be empty after waking up; this frees up the thread to answer blocking calls.
- Handle EOF in read.
- Improve the error message in the result. Allow concatenation of multiple results.

demo/dask/cpu_training.py

@@ -40,7 +40,7 @@ def main(client):
     # you can pass output directly into `predict` too.
     prediction = dxgb.predict(client, bst, dtrain)
     print("Evaluation history:", history)
-    return prediction
+    print("Error:", da.sqrt((prediction - y) ** 2).mean().compute())
 
 
 if __name__ == "__main__":