Support column-wise data split with in-memory inputs (#9628)

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Co-authored-by: Jiaming Yuan <jm.yuan@outlook.com>

src/data/simple_dmatrix.cc

@@ -75,7 +75,7 @@ DMatrix* SimpleDMatrix::SliceCol(int num_slices, int slice_id) {
 }
 
 void SimpleDMatrix::ReindexFeatures(Context const* ctx) {
-  if (info_.IsColumnSplit()) {
+  if (info_.IsColumnSplit() && collective::GetWorldSize() > 1) {
     auto const cols = collective::Allgather(info_.num_col_);
     auto const offset = std::accumulate(cols.cbegin(), cols.cbegin() + collective::GetRank(), 0ul);
     if (offset == 0) {