Don't set_params at the end of set_state. (#4947)

* Don't set_params at the end of set_state.

* Also fix another issue found in dask prediction.

* Add note about prediction.

Don't support other prediction modes at the moment.

demo/dask/gpu_training.py

@@ -32,6 +32,7 @@ def main(client):
 
     # you can pass output directly into `predict` too.
     prediction = xgb.dask.predict(client, bst, dtrain)
+    prediction = prediction.compute()
     print('Evaluation history:', history)
     return prediction