Fix changing locale. (#5314)

* Fix changing locale.

* Don't use locale guard.

As number parsing is implemented in house, we don't need locale.

* Update doc.

tests/python/test_basic_models.py

@@ -5,6 +5,7 @@ import os
 import json
 import testing as tm
 import pytest
+import locale
 
 dpath = 'demo/data/'
 dtrain = xgb.DMatrix(dpath + 'agaricus.txt.train')
@@ -300,6 +301,7 @@ class TestModels(unittest.TestCase):
             'reg_loss_param']['scale_pos_weight']) == 0.5
 
     def test_model_json_io(self):
+        loc = locale.getpreferredencoding(False)
         model_path = 'test_model_json_io.json'
         parameters = {'tree_method': 'hist', 'booster': 'gbtree'}
         j_model = json_model(model_path, parameters)
@@ -313,6 +315,7 @@ class TestModels(unittest.TestCase):
         assert isinstance(j_model['learner'], dict)
 
         os.remove(model_path)
+        assert locale.getpreferredencoding(False) == loc
 
     @pytest.mark.skipif(**tm.no_json_schema())
     def test_json_schema(self):