Fix missing data warning. (#5969)

* Fix data warning.

* Add numpy/scipy test.

tests/python/test_dmatrix.py

@@ -3,7 +3,8 @@ import numpy as np
 import xgboost as xgb
 import unittest
 import scipy.sparse
-from scipy.sparse import rand
+import pytest
+from scipy.sparse import rand, csr_matrix
 
 rng = np.random.RandomState(1)
 
@@ -12,6 +13,29 @@ rng = np.random.RandomState(1994)
 
 
 class TestDMatrix(unittest.TestCase):
+    def test_warn_missing(self):
+        from xgboost import data
+        with pytest.warns(UserWarning):
+            data._warn_unused_missing('uri', 4)
+
+        with pytest.warns(None) as record:
+            data._warn_unused_missing('uri', None)
+            data._warn_unused_missing('uri', np.nan)
+
+            assert len(record) == 0
+
+        with pytest.warns(None) as record:
+            x = rng.randn(10, 10)
+            y = rng.randn(10)
+
+            xgb.DMatrix(x, y, missing=4)
+
+            assert len(record) == 0
+
+        with pytest.warns(UserWarning):
+            csr = csr_matrix(x)
+            xgb.DMatrix(csr, y, missing=4)
+
     def test_dmatrix_numpy_init(self):
         data = np.random.randn(5, 5)
         dm = xgb.DMatrix(data)