Requires setting leaf stat when expanding tree. (#5501)

* Fix GPU Hist feature importance.

tests/cpp/tree/test_tree_stat.cc

@@ -0,0 +1,59 @@
+#include <xgboost/tree_updater.h>
+#include <xgboost/tree_model.h>
+#include <gtest/gtest.h>
+
+#include "../helpers.h"
+
+namespace xgboost {
+class UpdaterTreeStatTest : public ::testing::Test {
+ protected:
+  std::shared_ptr<DMatrix> p_dmat_;
+  HostDeviceVector<GradientPair> gpairs_;
+  size_t constexpr static kRows = 10;
+  size_t constexpr static kCols = 10;
+
+ protected:
+  void SetUp() override {
+    p_dmat_ = RandomDataGenerator(kRows, kCols, .5f).GenerateDMatix(true);
+    auto g = GenerateRandomGradients(kRows);
+    gpairs_.Resize(kRows);
+    gpairs_.Copy(g);
+  }
+
+  void RunTest(std::string updater) {
+    auto tparam = CreateEmptyGenericParam(0);
+    auto up = std::unique_ptr<TreeUpdater>{
+        TreeUpdater::Create(updater, &tparam)};
+    up->Configure(Args{});
+    RegTree tree;
+    tree.param.num_feature = kCols;
+    up->Update(&gpairs_, p_dmat_.get(), {&tree});
+
+    tree.WalkTree([&tree](bst_node_t nidx) {
+      if (tree[nidx].IsLeaf()) {
+        // 1.0 is the default `min_child_weight`.
+        CHECK_GE(tree.Stat(nidx).sum_hess, 1.0);
+      }
+      return true;
+    });
+  }
+};
+
+#if defined(XGBOOST_USE_CUDA)
+TEST_F(UpdaterTreeStatTest, GPUHist) {
+  this->RunTest("grow_gpu_hist");
+}
+#endif  // defined(XGBOOST_USE_CUDA)
+
+TEST_F(UpdaterTreeStatTest, Hist) {
+  this->RunTest("grow_quantile_histmaker");
+}
+
+TEST_F(UpdaterTreeStatTest, Exact) {
+  this->RunTest("grow_colmaker");
+}
+
+TEST_F(UpdaterTreeStatTest, Approx) {
+  this->RunTest("grow_histmaker");
+}
+}  // namespace xgboost