Remove MGPU cpp tests. (#8276)

Co-authored-by: Hyunsu Philip Cho <chohyu01@cs.washington.edu>

src/common/common.cu

@@ -1,11 +1,17 @@
 /*!
- * Copyright 2018 XGBoost contributors
+ * Copyright 2018-2022 XGBoost contributors
  */
 #include "common.h"
 
 namespace xgboost {
 namespace common {
 
+void SetDevice(std::int32_t device) {
+  if (device >= 0) {
+    dh::safe_cuda(cudaSetDevice(device));
+  }
+}
+
 int AllVisibleGPUs() {
   int n_visgpus = 0;
   try {

src/common/common.h

@@ -246,6 +246,16 @@ inline void AssertOneAPISupport() {
 #endif  // XGBOOST_USE_ONEAPI
 }
 
+void SetDevice(std::int32_t device);
+
+#if !defined(XGBOOST_USE_CUDA)
+inline void SetDevice(std::int32_t device) {
+  if (device >= 0) {
+    AssertGPUSupport();
+  }
+}
+#endif
+
 template <typename Idx, typename Container,
           typename V = typename Container::value_type,
           typename Comp = std::less<V>>