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

tests/cpp/CMakeLists.txt

@@ -63,6 +63,10 @@ if (MSVC)
     -D_CRT_SECURE_NO_DEPRECATE
   )
 endif (MSVC)
+if (ENABLE_ALL_WARNINGS)
+  target_compile_options(testxgboost PUBLIC
+    $<IF:$<COMPILE_LANGUAGE:CUDA>,-Xcompiler=-Wall -Xcompiler=-Wextra,-Wall -Wextra>)
+endif (ENABLE_ALL_WARNINGS)
 
 target_include_directories(testxgboost
   PRIVATE