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.

rabit/src/allreduce_base.cc

@@ -123,7 +123,9 @@ bool AllreduceBase::Init(int argc, char* argv[]) {
 bool AllreduceBase::Shutdown() {
   try {
     for (auto & all_link : all_links) {
-      all_link.sock.Close();
+      if (!all_link.sock.IsClosed()) {
+        all_link.sock.Close();
+      }
     }
     all_links.clear();
     tree_links.plinks.clear();
@@ -136,7 +138,7 @@ bool AllreduceBase::Shutdown() {
     utils::TCPSocket::Finalize();
     return true;
   } catch (const std::exception& e) {
-    fprintf(stderr, "failed to shutdown due to %s\n", e.what());
+    LOG(WARNING) << "Failed to shutdown due to" << e.what();
     return false;
   }
 }
@@ -217,7 +219,7 @@ void AllreduceBase::SetParam(const char *name, const char *val) {
       rabit_enable_tcp_no_delay = true;
     } else {
       rabit_enable_tcp_no_delay = false;
-}
+    }
   }
 }
 /*!
@@ -586,7 +588,7 @@ AllreduceBase::TryAllreduceTree(void *sendrecvbuf_,
       // eachreduce size
       if (max_reduce < total_size) {
           max_reduce = max_reduce - max_reduce % eachreduce;
-}
+      }
 
       // peform reduce, can be at most two rounds
       while (size_up_reduce < max_reduce) {

rabit/src/c_api.cc

@@ -6,6 +6,8 @@
 #include "rabit/rabit.h"
 #include "rabit/c_api.h"
 
+#include "../../src/c_api/c_api_error.h"
+
 namespace rabit {
 namespace c_api {
 // helper use to avoid BitOR operator
@@ -219,11 +221,19 @@ struct WriteWrapper : public Serializable {
 }  // namespace rabit
 
 RABIT_DLL bool RabitInit(int argc, char *argv[]) {
-  return rabit::Init(argc, argv);
+  auto ret = rabit::Init(argc, argv);
+  if (!ret) {
+    XGBAPISetLastError("Failed to initialize RABIT.");
+  }
+  return ret;
 }
 
 RABIT_DLL bool RabitFinalize() {
-  return rabit::Finalize();
+  auto ret = rabit::Finalize();
+  if (!ret) {
+    XGBAPISetLastError("Failed to shutdown RABIT worker.");
+  }
+  return ret;
 }
 
 RABIT_DLL int RabitGetRingPrevRank() {
@@ -242,9 +252,11 @@ RABIT_DLL int RabitIsDistributed() {
   return rabit::IsDistributed();
 }
 
-RABIT_DLL void RabitTrackerPrint(const char *msg) {
+RABIT_DLL int RabitTrackerPrint(const char *msg) {
+  API_BEGIN()
   std::string m(msg);
   rabit::TrackerPrint(m);
+  API_END()
 }
 
 RABIT_DLL void RabitGetProcessorName(char *out_name,