[R] enable multi-dimensional base_margin (#9885)

R-package/man/xgb.DMatrix.Rd

@@ -36,7 +36,9 @@ is assigned to each group (not each data point). This is because we
 only care about the relative ordering of data points within each group,
 so it doesn't make sense to assign weights to individual data points.}
 
-\item{base_margin}{Base margin used for boosting from existing model.}
+\item{base_margin}{Base margin used for boosting from existing model.
+
+       In the case of multi-output models, one can also pass multi-dimensional base_margin.}
 
 \item{missing}{a float value to represents missing values in data (used only when input is a dense matrix).
 It is useful when a 0 or some other extreme value represents missing values in data.}