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_json.cc

@@ -590,10 +590,8 @@ TEST(Json, DISABLED_RoundTripExhaustive) {
     }
   };
   int64_t int32_max = static_cast<int64_t>(std::numeric_limits<uint32_t>::max());
-#pragma omp parallel for schedule(static)
-  for (int64_t i = 0; i <= int32_max; ++i) {
-    test(static_cast<uint32_t>(i));
-  }
+  GenericParameter ctx;
+  common::ParallelFor(int32_max, ctx.Threads(), [&](auto i) { test(static_cast<uint32_t>(i)); });
 }
 
 TEST(Json, TypedArray) {