[CI] add cmakelint to C++ linting task (#9641)

Co-authored-by: Jiaming Yuan <jm.yuan@outlook.com>

tests/ci_build/lint_cmake.sh

@@ -0,0 +1,14 @@
+#!/bin/bash
+
+set -e
+
+cmake_files=$(
+    find . -name CMakeLists.txt -o -path "./cmake/*.cmake" \
+    | grep -v dmlc-core \
+    | grep -v gputreeshap
+)
+cmakelint \
+    --linelength=120 \
+    --filter=-convention/filename,-package/stdargs,-readability/wonkycase \
+    ${cmake_files} \
+|| exit 1