Move Python testing utilities into xgboost module. (#8379)

- Add typehints.
- Fixes for pylint.

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

tests/python/with_omp_limit.py

@@ -1,7 +1,9 @@
-import xgboost as xgb
+import sys
+
 from sklearn.datasets import make_classification
 from sklearn.metrics import roc_auc_score
-import sys
+
+import xgboost as xgb
 
 
 def run_omp(output_path: str):