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-gpu/test_gpu_with_dask.py

@@ -40,3 +40,6 @@ def test_dask_dataframe(client):
 
     assert isinstance(out['booster'], dxgb.Booster)
     assert len(out['history']['X']['rmse']) == 2
+
+    predictions = dxgb.predict(out, dtrain)
+    predictions = predictions.compute()