Fix approximated predict contribution. (#6811)

tests/python/test_predict.py

@@ -98,6 +98,27 @@ def test_predict_shape():
     assert len(contrib.shape) == 3
     assert contrib.shape[1] == 1
 
+    contrib = reg.get_booster().predict(
+        xgb.DMatrix(X), pred_contribs=True, approx_contribs=True
+    )
+    assert len(contrib.shape) == 2
+    assert contrib.shape[1] == X.shape[1] + 1
+
+    interaction = reg.get_booster().predict(
+        xgb.DMatrix(X), pred_interactions=True, approx_contribs=True
+    )
+    assert len(interaction.shape) == 3
+    assert interaction.shape[1] == X.shape[1] + 1
+    assert interaction.shape[2] == X.shape[1] + 1
+
+    interaction = reg.get_booster().predict(
+        xgb.DMatrix(X), pred_interactions=True, approx_contribs=True, strict_shape=True
+    )
+    assert len(interaction.shape) == 4
+    assert interaction.shape[1] == 1
+    assert interaction.shape[2] == X.shape[1] + 1
+    assert interaction.shape[3] == X.shape[1] + 1
+
 
 class TestInplacePredict:
     '''Tests for running inplace prediction'''