Remove RABIT CMake targets. (#6275)

* Now it's built as part of libxgboost.
* Set correct C API error in RABIT initialization and finalization.
* Remove redundant message.
* Guard the tracker print C API.

jvm-packages/xgboost4j-spark/src/test/scala/ml/dmlc/xgboost4j/scala/spark/FeatureSizeValidatingSuite.scala

@@ -67,7 +67,7 @@ class FeatureSizeValidatingSuite extends FunSuite with PerTest {
         (id, lp.label, lp.features)
     }.toDF("id", "label", "features")
     val xgb = new XGBoostClassifier(paramMap)
-    intercept[XGBoostError] {
+    intercept[Exception] {
       xgb.fit(repartitioned)
     }
   }

jvm-packages/xgboost4j/src/native/xgboost4j.cpp

@@ -916,7 +916,7 @@ JNIEXPORT jint JNICALL Java_ml_dmlc_xgboost4j_java_XGBoostJNI_RabitTrackerPrint
   (JNIEnv *jenv, jclass jcls, jstring jmsg) {
   std::string str(jenv->GetStringUTFChars(jmsg, 0),
                   jenv->GetStringLength(jmsg));
-  RabitTrackerPrint(str.c_str());
+  JVM_CHECK_CALL(RabitTrackerPrint(str.c_str()));
   return 0;
 }