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.

src/CMakeLists.txt

@@ -5,6 +5,8 @@ list(REMOVE_ITEM CPU_SOURCES ${xgboost_SOURCE_DIR}/src/cli_main.cc)
 # Object library is necessary for jvm-package, which creates its own shared library.
 add_library(objxgboost OBJECT)
 target_sources(objxgboost PRIVATE ${CPU_SOURCES})
+target_sources(objxgboost PRIVATE ${RABIT_SOURCES})
+
 if (USE_CUDA)
   file(GLOB_RECURSE CUDA_SOURCES *.cu *.cuh)
   target_sources(objxgboost PRIVATE ${CUDA_SOURCES})