Fix DMatrix slice with feature types. (#6689)

tests/python/test_with_pandas.py

@@ -18,9 +18,7 @@ rng = np.random.RandomState(1994)
 
 
 class TestPandas:
-
     def test_pandas(self):
-
         df = pd.DataFrame([[1, 2., True], [2, 3., False]],
                           columns=['a', 'b', 'c'])
         dm = xgb.DMatrix(df, label=pd.Series([1, 2]))
@@ -110,6 +108,18 @@ class TestPandas:
         assert dm.num_row() == 2
         assert dm.num_col() == 6
 
+    def test_slice(self):
+        rng = np.random.RandomState(1994)
+        rows = 100
+        X = rng.randint(3, 7, size=rows)
+        X = pd.DataFrame({'f0': X})
+        y = rng.randn(rows)
+        ridxs = [1, 2, 3, 4, 5, 6]
+        m = xgb.DMatrix(X, y)
+        sliced = m.slice(ridxs)
+
+        assert m.feature_types == sliced.feature_types
+
     def test_pandas_categorical(self):
         rng = np.random.RandomState(1994)
         rows = 100