Fix parameter loading with training continuation. (#7121)

* Add a demo for training continuation.

tests/python/test_demos.py

@@ -127,6 +127,12 @@ def test_callbacks_demo():
     subprocess.check_call(cmd)
 
 
+def test_continuation_demo():
+    script = os.path.join(PYTHON_DEMO_DIR, 'continuation.py')
+    cmd = ['python', script]
+    subprocess.check_call(cmd)
+
+
 # gpu_acceleration is not tested due to covertype dataset is being too huge.
 # gamma regression is not tested as it requires running a R script first.
 # aft viz is not tested due to ploting is not controled