[dask] Add type hints. (#6519)

* Add validate_features.
* Show type hints in doc.

Co-authored-by: Hyunsu Cho <chohyu01@cs.washington.edu>

.github/workflows/main.yml

@@ -171,10 +171,15 @@ jobs:
         architecture: 'x64'
     - name: Install Python packages
       run: |
-        python -m pip install wheel setuptools mypy
+        python -m pip install wheel setuptools mypy dask[complete] distributed
     - name: Run mypy
       run: |
-        cd python-package && mypy . || true
+        cd python-package
+        # dask is required to pass, others are not
+        mypy ./xgboost/dask.py ../tests/python/test_with_dask.py --follow-imports=silent
+        mypy ../tests/python-gpu/test_gpu_with_dask.py --follow-imports=silent
+        # If any of the above failed, contributor won't see the next error.
+        mypy . || true
 
   doxygen:
     runs-on: ubuntu-latest