[CI] Revise R tests. (#8430)

- Use the standard package check (check on the tarball instead of the source tree).
- Run commands in parallel.
- Cleanup dependencies installation.
- Replace makefile.
- Documentation.
- Test using the image from rhub.

.github/workflows/main.yml

@@ -146,7 +146,7 @@ jobs:
         python -m pip install wheel setuptools cpplint pylint
     - name: Run lint
       run: |
-        LINT_LANG=cpp make lint
+        python dmlc-core/scripts/lint.py xgboost cpp R-package/src
 
   sphinx:
     runs-on: ubuntu-latest