[R] Use new interface for creating DMatrix from CSR. (#8455)

* [R] Use new interface for creating DMatrix from CSR.

- CSC is still using the old API.

The old API is not aware of `nthread` parameter, which makes DMatrix to use all available
thread during construction and during transformation lie `SparsePage` -> `CSCPage`.

R-package/R/callbacks.R

@@ -592,12 +592,12 @@ cb.cv.predict <- function(save_models = FALSE) {
 #'
 #' #### Multiclass classification:
 #' #
-#' dtrain <- xgb.DMatrix(scale(x), label = as.numeric(iris$Species) - 1, nthread = 2)
+#' dtrain <- xgb.DMatrix(scale(x), label = as.numeric(iris$Species) - 1, nthread = 1)
 #' param <- list(booster = "gblinear", objective = "multi:softprob", num_class = 3,
-#'               lambda = 0.0003, alpha = 0.0003, nthread = 2)
+#'               lambda = 0.0003, alpha = 0.0003, nthread = 1)
 #' # For the default linear updater 'shotgun' it sometimes is helpful
 #' # to use smaller eta to reduce instability
-#' bst <- xgb.train(param, dtrain, list(tr=dtrain), nrounds = 70, eta = 0.5,
+#' bst <- xgb.train(param, dtrain, list(tr=dtrain), nrounds = 50, eta = 0.5,
 #'                  callbacks = list(cb.gblinear.history()))
 #' # Will plot the coefficient paths separately for each class:
 #' matplot(xgb.gblinear.history(bst, class_index = 0), type = 'l')