Enhance the threadpool implementation. (#10531)

- Accept an initialization function.
- Support void return tasks.

src/data/sparse_page_source.h

@@ -236,7 +236,6 @@ class SparsePageSourceImpl : public BatchIteratorImpl<S>, public FormatStreamPol
 
     exce_.Rethrow();
 
-    auto const config = *GlobalConfigThreadLocalStore::Get();
     for (std::int32_t i = 0; i < n_prefetch_batches; ++i, ++fetch_it) {
       fetch_it %= n_batches_;  // ring
       if (ring_->at(fetch_it).valid()) {
@@ -244,8 +243,7 @@ class SparsePageSourceImpl : public BatchIteratorImpl<S>, public FormatStreamPol
       }
       auto const* self = this;  // make sure it's const
       CHECK_LT(fetch_it, cache_info_->offset.size());
-      ring_->at(fetch_it) = this->workers_.Submit([fetch_it, self, config, this] {
-        *GlobalConfigThreadLocalStore::Get() = config;
+      ring_->at(fetch_it) = this->workers_.Submit([fetch_it, self, this] {
         auto page = std::make_shared<S>();
         this->exce_.Run([&] {
           std::unique_ptr<typename FormatStreamPolicy::FormatT> fmt{this->CreatePageFormat()};
@@ -297,7 +295,10 @@ class SparsePageSourceImpl : public BatchIteratorImpl<S>, public FormatStreamPol
  public:
   SparsePageSourceImpl(float missing, int nthreads, bst_feature_t n_features, bst_idx_t n_batches,
                        std::shared_ptr<Cache> cache)
-      : workers_{std::max(2, std::min(nthreads, 16))},  // Don't use too many threads.
+      : workers_{std::max(2, std::min(nthreads, 16)),
+                 [config = *GlobalConfigThreadLocalStore::Get()] {
+                   *GlobalConfigThreadLocalStore::Get() = config;
+                 }},
         missing_{missing},
         nthreads_{nthreads},
         n_features_{n_features},