[fed] Fixes for the encrypted GRPC backend. (#10503)

src/context.cc

@@ -191,8 +191,11 @@ DeviceOrd CUDAOrdinal(DeviceOrd device, bool) {
   }
   if (device.IsCUDA()) {
     device = CUDAOrdinal(device, fail_on_invalid_gpu_id);
+    if (!device.IsCUDA()) {
+      // We allow loading a GPU-based pickle on a CPU-only machine.
+      LOG(WARNING) << "XGBoost is not compiled with CUDA support.";
+    }
   }
-
   return device;
 }
 }  // namespace