[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`.

tests/ci_build/test_r_package.py

@@ -165,7 +165,10 @@ def check_rmarkdown() -> None:
     subprocess.check_call([rscript, "-e", "devtools::document()"], env=env)
     output = subprocess.run(["git", "diff", "--name-only"], capture_output=True)
     if len(output.stdout.decode("utf-8").strip()) != 0:
-        raise ValueError("Please run `devtools::document()`.")
+        output = subprocess.run(["git", "diff"], capture_output=True)
+        raise ValueError(
+            "Please run `devtools::document()`. Diff:\n", output.stdout.decode("utf-8")
+        )
 
 
 @cd(r_package)