[EM] Support CPU quantile objective for external memory. (#10751)

tests/python-gpu/test_gpu_data_iterator.py

@@ -4,6 +4,7 @@ import pytest
 from hypothesis import given, settings, strategies
 
 from xgboost.testing import no_cupy
+from xgboost.testing.updater import check_quantile_loss_extmem
 
 sys.path.append("tests/python")
 from test_data_iterator import run_data_iterator
@@ -56,3 +57,8 @@ def test_cpu_data_iterator() -> None:
         use_cupy=True,
         on_host=False,
     )
+
+
+def test_quantile_objective() -> None:
+    with pytest.raises(ValueError, match="external memory"):
+        check_quantile_loss_extmem(2, 2, 2, "hist", "cuda")