[doc] [dask] Troubleshooting NCCL errors. (#8943)

tests/cpp/collective/test_nccl_device_communicator.cu

@@ -1,10 +1,12 @@
-/*!
- * Copyright 2022 XGBoost contributors
+/**
+ * Copyright 2022-2023, XGBoost contributors
  */
 #ifdef XGBOOST_USE_NCCL
 
 #include <gtest/gtest.h>
 
+#include <string>  // for string
+
 #include "../../../src/collective/nccl_device_communicator.cuh"
 
 namespace xgboost {
@@ -20,7 +22,15 @@ TEST(NcclDeviceCommunicatorSimpleTest, ThrowOnInvalidCommunicator) {
   EXPECT_THROW(construct(), dmlc::Error);
 }
 
+TEST(NcclDeviceCommunicatorSimpleTest, SystemError) {
+  try {
+    dh::safe_nccl(ncclSystemError);
+  } catch (dmlc::Error const& e) {
+    auto str = std::string{e.what()};
+    ASSERT_TRUE(str.find("environment variables") != std::string::npos);
+  }
+}
 }  // namespace collective
 }  // namespace xgboost
 
-#endif
+#endif  // XGBOOST_USE_NCCL