Misleading exception information: no such param of "allow_non_zero_missing" (#6418)

jvm-packages/xgboost4j-spark/src/main/scala/ml/dmlc/xgboost4j/scala/spark/XGBoost.scala

@@ -282,7 +282,7 @@ object XGBoost extends Serializable {
               s" set value $missing) when you have SparseVector or Empty vector as your feature" +
               s" format. If you didn't use Spark's VectorAssembler class to build your feature " +
               s"vector but instead did so in a way that preserves zeros in your feature vector " +
-              s"you can avoid this check by using the 'allow_non_zero_missing parameter'" +
+              s"you can avoid this check by using the 'allow_non_zero_for_missing parameter'" +
               s" (only use if you know what you are doing)")
         }
         labeledPoint