[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.

R-package/demo/runall.R

@@ -1,4 +1,4 @@
-# running all scripts in demo folder
+# running all scripts in demo folder, removed during packaging.
 demo(basic_walkthrough, package = 'xgboost')
 demo(custom_objective, package = 'xgboost')
 demo(boost_from_prediction, package = 'xgboost')