[Breaking] Change default evaluation metric for classification to logloss / mlogloss (#6183)

* Change DefaultEvalMetric of classification from error to logloss

* Change default binary metric in plugin/example/custom_obj.cc

* Set old error metric in python tests

* Set old error metric in R tests

* Fix missed eval metrics and typos in R tests

* Fix setting eval_metric twice in R tests

* Add warning for empty eval_metric for classification

* Fix Dask tests

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

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

@@ -154,10 +154,10 @@ class XGBoostClassifier (
     require(isDefined(objective), "Users must set \'objective\' via xgboostParams.")
     if ($(objective).startsWith("multi")) {
       // multi
-      "merror"
+      "mlogloss"
     } else {
       // binary
-      "error"
+      "logloss"
     }
   }