[R] Add a compatibility layer to load Booster object from an old RDS file (#5940)

* [R] Add a compatibility layer to load Booster from an old RDS
* Modify QuantileHistMaker::LoadConfig() to be backward compatible with 1.1.x
* Add a big warning about compatibility in QuantileHistMaker::LoadConfig()
* Add testing suite
* Discourage use of saveRDS() in CRAN doc

R-package/man/a-compatibility-note-for-saveRDS.Rd

@@ -0,0 +1,15 @@
+% Generated by roxygen2: do not edit by hand
+% Please edit documentation in R/utils.R
+\name{a-compatibility-note-for-saveRDS}
+\alias{a-compatibility-note-for-saveRDS}
+\title{Do not use saveRDS() for long-term archival of models. Use xgb.save() instead.}
+\description{
+It is a common practice to use the built-in \code{saveRDS()} function to persist R objects to
+the disk. While \code{xgb.Booster} objects can be persisted with \code{saveRDS()} as well, it
+is not advisable to use it if the model is to be accessed in the future. If you train a model
+with the current version of XGBoost and persist it with \code{saveRDS()}, the model is not
+guaranteed to be accessible in later releases of XGBoost. To ensure that your model can be
+accessed in future releases of XGBoost, use \code{xgb.save()} instead. For more details and
+explanation, consult the page
+\url{https://xgboost.readthedocs.io/en/latest/tutorials/saving_model.html}.
+}