[Breaking] Set output margin to True for custom objective. (#5564)

* Set output margin to True for custom objective in Python and R.

* Add a demo for writing multi-class custom objective function.

* Run tests on selected demos.

tests/python/test_demos.py

@@ -0,0 +1,32 @@
+import os
+import subprocess
+import sys
+import pytest
+
+
+CURRENT_DIR = os.path.dirname(__file__)
+ROOT_DIR = os.path.dirname(os.path.dirname(CURRENT_DIR))
+DEMO_DIR = os.path.join(ROOT_DIR, 'demo', 'guide-python')
+
+
+def test_basic_walkthrough():
+    script = os.path.join(DEMO_DIR, 'basic_walkthrough.py')
+    cmd = ['python', script]
+    subprocess.check_call(cmd)
+    os.remove('dump.nice.txt')
+    os.remove('dump.raw.txt')
+
+
+def test_custom_multiclass_objective():
+    script = os.path.join(DEMO_DIR, 'custom_softmax.py')
+    cmd = ['python', script, '--plot=0']
+    subprocess.check_call(cmd)
+
+
+def test_custom_rmsle_objective():
+    major, minor = sys.version_info[:2]
+    if minor < 6:
+        pytest.skip('Skipping RMLSE test due to Python version being too low.')
+    script = os.path.join(DEMO_DIR, 'custom_rmsle.py')
+    cmd = ['python', script, '--plot=0']
+    subprocess.check_call(cmd)