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/helpers.h

@@ -357,7 +357,8 @@ std::unique_ptr<DMatrix> CreateSparsePageDMatrixWithRC(
     size_t n_rows, size_t n_cols, size_t page_size, bool deterministic,
     const dmlc::TemporaryDirectory& tempdir = dmlc::TemporaryDirectory());
 
-gbm::GBTreeModel CreateTestModel(LearnerModelParam const* param, size_t n_classes = 1);
+gbm::GBTreeModel CreateTestModel(LearnerModelParam const* param, GenericParameter const* ctx,
+                                 size_t n_classes = 1);
 
 std::unique_ptr<GradientBooster> CreateTrainedGBM(
     std::string name, Args kwargs, size_t kRows, size_t kCols,