[dask] Honor nthreads from dask worker. (#5414)

tests/python/test_with_dask.py

@@ -3,6 +3,7 @@ import pytest
 import xgboost as xgb
 import sys
 import numpy as np
+import json
 
 if sys.platform.startswith("win"):
     pytest.skip("Skipping dask tests on Windows", allow_module_level=True)
@@ -60,7 +61,7 @@ def test_from_dask_dataframe():
 
 
 def test_from_dask_array():
-    with LocalCluster(n_workers=5) as cluster:
+    with LocalCluster(n_workers=5, threads_per_worker=5) as cluster:
         with Client(cluster) as client:
             X, y = generate_array()
             dtrain = DaskDMatrix(client, X, y)
@@ -74,11 +75,15 @@ def test_from_dask_array():
             # force prediction to be computed
             prediction = prediction.compute()
 
-            single_node_predt = result['booster'].predict(
+            booster = result['booster']
+            single_node_predt = booster.predict(
                 xgb.DMatrix(X.compute())
             )
             np.testing.assert_allclose(prediction, single_node_predt)
 
+            config = json.loads(booster.save_config())
+            assert int(config['learner']['generic_param']['nthread']) == 5
+
 
 def test_dask_regressor():
     with LocalCluster(n_workers=5) as cluster: