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/objective/rank_obj.cu

@@ -826,7 +826,7 @@ class LambdaRankObj : public ObjFunction {
     out_gpair->Resize(preds.Size());
 
     dmlc::OMPException exc;
-    #pragma omp parallel
+#pragma omp parallel num_threads(ctx_->Threads())
     {
       exc.Run([&]() {
         // parallel construct, declare random number generator here, so that each