Fix filtering callable objects in skl xgb param. (#6466)

Co-authored-by: Hyunsu Cho <chohyu01@cs.washington.edu>

python-package/xgboost/sklearn.py

@@ -398,7 +398,7 @@ class XGBModel(XGBModelBase):
             'importance_type', 'kwargs', 'missing', 'n_estimators', 'use_label_encoder'}
         filtered = dict()
         for k, v in params.items():
-            if k not in wrapper_specific:
+            if k not in wrapper_specific and not callable(v):
                 filtered[k] = v
         return filtered