[dask] Disable gblinear and dart. (#6665)

python-package/xgboost/dask.py

@@ -802,6 +802,11 @@ async def _train_async(
     workers = list(_get_workers_from_data(dtrain, evals))
     _rabit_args = await _get_rabit_args(len(workers), client)
 
+    if params.get("booster", None) is not None and params["booster"] != "gbtree":
+        raise NotImplementedError(
+            f"booster `{params['booster']}` is not yet supported for dask."
+        )
+
     def dispatched_train(
         worker_addr: str,
         rabit_args: List[bytes],