Enforce correct data shape. (#5191)

* Fix syncing DMatrix columns.
* notes for tree method.
* Enable feature validation for all interfaces except for jvm.
* Better tests for boosting from predictions.
* Disable validation on JVM.

tests/python-gpu/test_gpu_pickling.py

@@ -6,7 +6,6 @@ import subprocess
 import os
 import json
 import pytest
-import copy
 
 import xgboost as xgb
 from xgboost import XGBClassifier