Support multi-class with base margin. (#7381)

This is already partially supported but never properly tested. So the only possible way to use it is calling `numpy.ndarray.flatten` with `base_margin` before passing it into XGBoost. This PR adds proper support
for most of the data types along with tests.

tests/python/test_with_modin.py

@@ -3,6 +3,7 @@ import numpy as np
 import xgboost as xgb
 import testing as tm
 import pytest
+from test_dmatrix import set_base_margin_info
 
 try:
     import modin.pandas as md
@@ -144,3 +145,6 @@ class TestModin:
         assert data.num_col() == kCols
 
         np.testing.assert_array_equal(data.get_weight(), w)
+
+    def test_base_margin(self):
+        set_base_margin_info(md.DataFrame, xgb.DMatrix, "hist")