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.

tests/cpp/common/test_hist_util.cc

@@ -14,15 +14,7 @@
 namespace xgboost {
 namespace common {
 
-size_t GetNThreads() {
-  size_t nthreads;
-  #pragma omp parallel
-  {
-    #pragma omp master
-    nthreads = omp_get_num_threads();
-  }
-  return nthreads;
-}
+size_t GetNThreads() { return common::OmpGetNumThreads(0); }
 
 template <typename GradientSumT>
 void ParallelGHistBuilderReset() {