More categorical tests and disable shap sparse test. (#6219)

* Fix tree load with 32 category.

tests/python-gpu/test_gpu_prediction.py

@@ -212,6 +212,10 @@ class TestGPUPredict(unittest.TestCase):
            tm.dataset_strategy, shap_parameter_strategy)
     @settings(deadline=None, max_examples=20)
     def test_shap_interactions(self, num_rounds, dataset, param):
+        if dataset.name == 'sparse':
+            issue = 'https://github.com/dmlc/xgboost/issues/6074'
+            pytest.xfail(reason=f'GPU shap with sparse is flaky: {issue}')
+
         param.update({"predictor": "gpu_predictor", "gpu_id": 0})
         param = dataset.set_params(param)
         dmat = dataset.get_dmat()
@@ -220,5 +224,6 @@ class TestGPUPredict(unittest.TestCase):
         shap = bst.predict(test_dmat, pred_interactions=True)
         margin = bst.predict(test_dmat, output_margin=True)
         assume(len(dataset.y) > 0)
-        assert np.allclose(np.sum(shap, axis=(len(shap.shape) - 1, len(shap.shape) - 2)), margin,
+        assert np.allclose(np.sum(shap, axis=(len(shap.shape) - 1, len(shap.shape) - 2)),
+                           margin,
                            1e-3, 1e-3)