Remove omp_get_max_threads (#7608)

This is the one last PR for removing omp global variable.

* Add context object to the `DMatrix`.  This bridges `DMatrix` with https://github.com/dmlc/xgboost/issues/7308 .
* Require context to be available at the construction time of booster.
* Add `n_threads` support for R csc DMatrix constructor.
* Remove `omp_get_max_threads` in R glue code.
* Remove threading utilities that rely on omp global variable.

src/data/proxy_dmatrix.h

@@ -79,6 +79,11 @@ class DMatrixProxy : public DMatrix {
 
   MetaInfo& Info() override { return info_; }
   MetaInfo const& Info() const override { return info_; }
+  GenericParameter const* Ctx() const override {
+    LOG(FATAL) << "`ProxyDMatrix` doesn't have context.";
+    return nullptr;
+  }
+
   bool SingleColBlock() const override { return true; }
   bool EllpackExists() const override { return true; }
   bool SparsePageExists() const override { return false; }