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_pandas.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 pandas as pd
@@ -205,6 +206,9 @@ class TestPandas:
 
         np.testing.assert_array_equal(data.get_weight(), w)
 
+    def test_base_margin(self):
+        set_base_margin_info(pd.DataFrame, xgb.DMatrix, "hist")
+
     def test_cv_as_pandas(self):
         dm = xgb.DMatrix(dpath + 'agaricus.txt.train')
         params = {'max_depth': 2, 'eta': 1, 'verbosity': 0,