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/python/test_with_modin.py

@@ -1,9 +1,9 @@
 import numpy as np
 import pytest
-from test_dmatrix import set_base_margin_info
 
 import xgboost as xgb
 from xgboost import testing as tm
+from xgboost.testing.data import run_base_margin_info
 
 try:
     import modin.pandas as md
@@ -145,4 +145,4 @@ class TestModin:
         np.testing.assert_array_equal(data.get_weight(), w)
 
     def test_base_margin(self):
-        set_base_margin_info(md.DataFrame, xgb.DMatrix, "hist")
+        run_base_margin_info(md.DataFrame, xgb.DMatrix, "cpu")