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-gpu/test_from_cupy.py

@@ -5,6 +5,7 @@ import pytest
 
 sys.path.append("tests/python")
 import testing as tm
+from test_dmatrix import set_base_margin_info
 
 
 def dmatrix_from_cupy(input_type, DMatrixT, missing=np.NAN):
@@ -107,6 +108,8 @@ def _test_cupy_metainfo(DMatrixT):
     assert np.array_equal(dmat.get_uint_info('group_ptr'),
                           dmat_cupy.get_uint_info('group_ptr'))
 
+    set_base_margin_info(cp.asarray, DMatrixT, "gpu_hist")
+
 
 @pytest.mark.skipif(**tm.no_cupy())
 @pytest.mark.skipif(**tm.no_sklearn())