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

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

.github/workflows/main.yml

@@ -141,7 +141,7 @@ jobs:
         architecture: 'x64'
     - name: Install Python packages
       run: |
-        python -m pip install wheel setuptools cpplint pylint
+        python -m pip install wheel setuptools cmakelint cpplint pylint
     - name: Run lint
       run: |
         python3 tests/ci_build/lint_cpp.py xgboost cpp R-package/src
@@ -150,3 +150,5 @@ jobs:
             --exclude_path python-package/xgboost/dmlc-core python-package/xgboost/include \
                            python-package/xgboost/lib python-package/xgboost/rabit \
                            python-package/xgboost/src
+
+        sh ./tests/ci_build/lint_cmake.sh || true

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