[R] Set number of threads in demos and tests. (#9591)

- Restrict the number of threads in IO.
- Specify the number of threads in demos and tests.
- Add helper scripts for checks.

src/data/ellpack_page_source.h

@@ -50,6 +50,7 @@ inline void EllpackPageSource::Fetch() {
   // silent the warning about unused variables.
   (void)(row_stride_);
   (void)(is_dense_);
+  (void)(device_);
   common::AssertGPUSupport();
 }
 #endif  // !defined(XGBOOST_USE_CUDA)