Use pytest conventions consistently (#6337)

* Do not derive from unittest.TestCase (not needed for pytest)

* assertRaises -> pytest.raises

* Simplify test_empty_dmatrix with test parametrization

* setUpClass -> setup_class, tearDownClass -> teardown_class

* Don't import unittest; import pytest

* Use plain assert

* Use parametrized tests in more places

* Fix test_gpu_with_sklearn.py

* Put back run_empty_dmatrix_reg / run_empty_dmatrix_cls

* Fix test_eta_decay_gpu_hist

* Add parametrized tests for monotone constraints

* Fix test names

* Remove test parametrization

* Revise test_slice to be not flaky

tests/python/test_cli.py

@@ -1,6 +1,5 @@
 import os
 import tempfile
-import unittest
 import platform
 import xgboost
 import subprocess
@@ -9,7 +8,7 @@ import json
 import testing as tm
 
 
-class TestCLI(unittest.TestCase):
+class TestCLI:
     template = '''
 booster = gbtree
 objective = reg:squarederror