Remove MGPU cpp tests. (#8276)

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

src/learner.cc

@@ -327,6 +327,8 @@ void GenericParameter::ConfigureGpuId(bool require_gpu) {
   // Just set it to CPU, don't think about it.
   this->UpdateAllowUnknown(Args{{"gpu_id", std::to_string(kCpuId)}});
 #endif  // defined(XGBOOST_USE_CUDA)
+
+  common::SetDevice(this->gpu_id);
 }
 
 int32_t GenericParameter::Threads() const {