Cleanup Python GPU tests. (#9934)

* Cleanup Python GPU tests.

- Remove the use of `gpu_hist` and `gpu_id` in cudf/cupy tests.
- Move base margin test into the testing directory.

tests/ci_build/lint_python.py

@@ -27,13 +27,8 @@ class LintersPaths:
         "tests/python/test_tree_regularization.py",
         "tests/python/test_shap.py",
         "tests/python/test_with_pandas.py",
-        "tests/python-gpu/test_gpu_data_iterator.py",
-        "tests/python-gpu/test_gpu_prediction.py",
-        "tests/python-gpu/load_pickle.py",
-        "tests/python-gpu/test_gpu_pickling.py",
-        "tests/python-gpu/test_gpu_eval_metrics.py",
-        "tests/python-gpu/test_gpu_with_sklearn.py",
-        "tests/python-sycl/test_sycl_prediction.py",
+        "tests/python-gpu/",
+        "tests/python-sycl/",
         "tests/test_distributed/test_with_spark/",
         "tests/test_distributed/test_gpu_with_spark/",
         # demo