Define metainfo and other parameters for all DMatrix interfaces. (#6601)

This PR ensures all DMatrix types have a common interface.

* Fix logic in avoiding duplicated DMatrix in sklearn.
* Check for consistency between DMatrix types.
* Add doc for bounds.

tests/python-gpu/test_device_quantile_dmatrix.py

@@ -34,3 +34,25 @@ class TestDeviceQuantileDMatrix:
         import cupy as cp
         data = cp.random.randn(5, 5)
         xgb.DeviceQuantileDMatrix(data, cp.ones(5, dtype=np.float64))
+
+    @pytest.mark.skipif(**tm.no_cupy())
+    def test_metainfo(self) -> None:
+        import cupy as cp
+        rng = cp.random.RandomState(1994)
+
+        rows = 10
+        cols = 3
+        data = rng.randn(rows, cols)
+
+        labels = rng.randn(rows)
+
+        fw = rng.randn(rows)
+        fw -= fw.min()
+
+        m = xgb.DeviceQuantileDMatrix(data=data, label=labels, feature_weights=fw)
+
+        got_fw = m.get_float_info("feature_weights")
+        got_labels = m.get_label()
+
+        cp.testing.assert_allclose(fw, got_fw)
+        cp.testing.assert_allclose(labels, got_labels)