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.

tests/python/test_pickling.py

@@ -0,0 +1,48 @@
+import pickle
+import numpy as np
+import xgboost as xgb
+import os
+
+
+kRows = 100
+kCols = 10
+
+
+def generate_data():
+    X = np.random.randn(kRows, kCols)
+    y = np.random.randn(kRows)
+    return X, y
+
+
+def test_model_pickling():
+    xgb_params = {
+        'verbosity': 0,
+        'nthread': 1,
+        'tree_method': 'hist'
+    }
+
+    X, y = generate_data()
+    dtrain = xgb.DMatrix(X, y)
+    bst = xgb.train(xgb_params, dtrain)
+
+    dump_0 = bst.get_dump(dump_format='json')
+    assert dump_0
+
+    filename = 'model.pkl'
+
+    with open(filename, 'wb') as fd:
+        pickle.dump(bst, fd)
+
+    with open(filename, 'rb') as fd:
+        bst = pickle.load(fd)
+
+    with open(filename, 'wb') as fd:
+        pickle.dump(bst, fd)
+
+    with open(filename, 'rb') as fd:
+        bst = pickle.load(fd)
+
+    assert bst.get_dump(dump_format='json') == dump_0
+
+    if os.path.exists(filename):
+        os.remove(filename)