Revert OMP guard. (#6987)

The guard protects the global variable from being changed by XGBoost.  But this leads to a
bug that the `n_threads` parameter is no longer used after the first iteration.  This is
due to the fact that `omp_set_num_threads` is only called once in `Learner::Configure` at
the beginning of the training process.

The guard is still useful for `gpu_id`, since this is called all the times in our codebase
doesn't matter which iteration we are currently running.

src/c_api/c_api_utils.h

@@ -163,7 +163,6 @@ inline float GetMissing(Json const &config) {
 
 // Safe guard some global variables from being changed by XGBoost.
 class XGBoostAPIGuard {
-  int32_t n_threads_ {omp_get_max_threads()};
   int32_t device_id_ {0};
 
 #if defined(XGBOOST_USE_CUDA)
@@ -179,7 +178,6 @@ class XGBoostAPIGuard {
     SetGPUAttribute();
   }
   ~XGBoostAPIGuard() {
-    omp_set_num_threads(n_threads_);
     RestoreGPUAttribute();
   }
 };