[doc] Add notes about RMM and device ordinal. [skip ci] (#10562)

- Remove the experimental tag, we have been running it for a long time now.
- Add notes about avoiding set CUDA device.
- Add link in parameter.

doc/parameter.rst

@@ -25,7 +25,11 @@ Global Configuration
 The following parameters can be set in the global scope, using :py:func:`xgboost.config_context()` (Python) or ``xgb.set.config()`` (R).
 
 * ``verbosity``: Verbosity of printing messages. Valid values of 0 (silent), 1 (warning), 2 (info), and 3 (debug).
-* ``use_rmm``: Whether to use RAPIDS Memory Manager (RMM) to allocate GPU memory. This option is only applicable when XGBoost is built (compiled) with the RMM plugin enabled. Valid values are ``true`` and ``false``.
+
+* ``use_rmm``: Whether to use RAPIDS Memory Manager (RMM) to allocate cache GPU
+  memory. The primary memory is always allocated on the RMM pool when XGBoost is built
+  (compiled) with the RMM plugin enabled. Valid values are ``true`` and ``false``. See
+  :doc:`/python/rmm-examples/index` for details.
 
 ******************
 General Parameters