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/learner.cc

@@ -331,7 +331,6 @@ class LearnerConfiguration : public Learner {
     generic_parameters_.UpdateAllowUnknown(args);
 
     ConsoleLogger::Configure(args);
-    common::OmpSetNumThreads(&generic_parameters_.nthread);
 
     // add additional parameters
     // These are cosntraints that need to be satisfied.
@@ -522,9 +521,7 @@ class LearnerConfiguration : public Learner {
     return cfg_;
   }
 
-  GenericParameter const& GetGenericParameter() const override {
-    return generic_parameters_;
-  }
+  GenericParameter const* Ctx() const override { return &generic_parameters_; }
 
  private:
   void ValidateParameters() {