remove device shards (#4867)

src/objective/multiclass_obj.cu

@@ -33,9 +33,7 @@ struct SoftmaxMultiClassParam : public dmlc::Parameter<SoftmaxMultiClassParam> {
         .describe("Number of output class in the multi-class classification.");
   }
 };
-// TODO(trivialfis): Currently the sharding in softmax is less than ideal
-// due to repeated copying data between CPU and GPUs.  Maybe we just use single
-// GPU?
+
 class SoftmaxMultiClassObj : public ObjFunction {
  public:
   explicit SoftmaxMultiClassObj(bool output_prob)