[breaking] Save booster feature info in JSON, remove feature name generation. (#6605)

* Save feature info in booster in JSON model.
* [breaking] Remove automatic feature name generation in `DMatrix`.

This PR is to enable reliable feature validation in Python package.

tests/python/test_cli.py

@@ -95,6 +95,11 @@ eval[test] = {data_path}
             }
             data = xgboost.DMatrix(data_path)
             booster = xgboost.train(parameters, data, num_boost_round=10)
+
+            # CLI model doesn't contain feature info.
+            booster.feature_names = None
+            booster.feature_types = None
+
             booster.save_model(model_out_py)
             py_predt = booster.predict(data)