Add option to enable all compiler warnings in GCC/Clang (#5897)

* Add option to enable all compiler warnings in GCC/Clang

* Fix -Wall for CUDA sources

* Make -Wall private req for xgboost-r

R-package/CMakeLists.txt

@@ -6,6 +6,9 @@ file(GLOB_RECURSE R_SOURCES
   ${CMAKE_CURRENT_LIST_DIR}/src/*.c)
 # Use object library to expose symbols
 add_library(xgboost-r OBJECT ${R_SOURCES})
+if (ENABLE_ALL_WARNINGS)
+  target_compile_options(xgboost-r PRIVATE -Wall -Wextra)
+endif (ENABLE_ALL_WARNINGS)
 target_compile_definitions(xgboost-r
   PUBLIC
   -DXGBOOST_STRICT_R_MODE=1