Use context in SetInfo. (#7687)

* Use the name `Context`.
* Pass a context object into `SetInfo`.
* Add context to proxy matrix.
* Add context to iterative DMatrix.

This is to remove the use of the default number of threads during `SetInfo` as a follow-up on
removing the global omp variable while preparing for CUDA stream semantic.  Currently, XGBoost
uses the legacy CUDA stream, we will gradually remove them in the future in favor of non-blocking streams.

tests/cpp/gbm/test_gbtree.cc

@@ -257,7 +257,7 @@ TEST(Dart, Prediction) {
   for (size_t i = 0; i < kRows; ++i) {
     labels[i] = i % 2;
   }
-  p_mat->Info().SetInfo("label", labels.data(), DataType::kFloat32, kRows);
+  p_mat->SetInfo("label", labels.data(), DataType::kFloat32, kRows);
 
   auto learner = std::unique_ptr<Learner>(Learner::Create({p_mat}));
   learner->SetParam("booster", "dart");