Deprecate the command line interface. (#9485)

---------

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

tests/buildkite/build-win64-gpu.ps1

@@ -13,7 +13,7 @@ if ( $is_release_branch -eq 0 ) {
 mkdir build
 cd build
 cmake .. -G"Visual Studio 17 2022" -A x64 -DUSE_CUDA=ON -DCMAKE_VERBOSE_MAKEFILE=ON `
-  -DGOOGLE_TEST=ON -DUSE_DMLC_GTEST=ON ${arch_flag}
+  -DGOOGLE_TEST=ON -DUSE_DMLC_GTEST=ON -DBUILD_DEPRECATED_CLI=ON ${arch_flag}
 $msbuild = -join @(
   "C:\\Program Files\\Microsoft Visual Studio\\2022\\Community\\MSBuild\\Current"
   "\\Bin\\MSBuild.exe"

tests/ci_build/build_r_pkg_with_cuda.sh

@@ -19,7 +19,6 @@ cmake .. -GNinja -DUSE_CUDA=ON -DR_LIB=ON
 ninja
 cd ..
 
-rm xgboost
 # This super wacky hack is found in cmake/RPackageInstall.cmake.in and
 # cmake/RPackageInstallTargetSetup.cmake. This hack lets us bypass the normal build process of R
 # and have R use xgboost.so that we've already built.

tests/ci_build/build_r_pkg_with_cuda_win64.sh

@@ -22,7 +22,6 @@ cmake .. -G"Visual Studio 17 2022" -A x64 -DUSE_CUDA=ON -DR_LIB=ON -DLIBR_HOME="
 cmake --build . --config Release --parallel
 cd ..
 
-rm xgboost
 # This super wacky hack is found in cmake/RPackageInstall.cmake.in and
 # cmake/RPackageInstallTargetSetup.cmake. This hack lets us bypass the normal build process of R
 # and have R use xgboost.dll that we've already built.

tests/ci_build/build_via_cmake.sh

@@ -24,7 +24,7 @@ fi
 rm -rf build
 mkdir build
 cd build
-cmake .. ${cmake_args} -DGOOGLE_TEST=ON -DUSE_DMLC_GTEST=ON -DCMAKE_VERBOSE_MAKEFILE=ON -DENABLE_ALL_WARNINGS=ON -DCMAKE_COMPILE_WARNING_AS_ERROR=ON -GNinja ${cmake_prefix_flag} -DHIDE_CXX_SYMBOLS=ON
+cmake .. ${cmake_args} -DGOOGLE_TEST=ON -DUSE_DMLC_GTEST=ON -DCMAKE_VERBOSE_MAKEFILE=ON -DENABLE_ALL_WARNINGS=ON -DCMAKE_COMPILE_WARNING_AS_ERROR=ON -GNinja ${cmake_prefix_flag} -DHIDE_CXX_SYMBOLS=ON -DBUILD_DEPRECATED_CLI=ON
 ninja clean
 time ninja -v
 cd ..