Fix non-openmp build. (#5566)
* Add test to Jenkins. * Fix threading utils tests. * Require thread library.
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@@ -69,8 +69,8 @@ set_target_properties(
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target_link_libraries(testxgboost
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PRIVATE
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${GTEST_LIBRARIES}
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${LINKED_LIBRARIES_PRIVATE}
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OpenMP::OpenMP_CXX)
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${LINKED_LIBRARIES_PRIVATE})
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target_compile_definitions(testxgboost PRIVATE ${XGBOOST_DEFINITIONS})
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set_output_directory(testxgboost ${xgboost_BINARY_DIR})
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