Enhance nvtx support. (#5636)

tests/cpp/CMakeLists.txt

@@ -40,9 +40,9 @@ if (USE_CUDA)
   endif (USE_NCCL)
 
   if (USE_NVTX)
-    target_include_directories(testxgboost PRIVATE "${NVTX_HEADER_DIR}")
-    target_compile_definitions(testxgboost PRIVATE -DXGBOOST_USE_NVTX=1)
+    enable_nvtx(testxgboost)
   endif (USE_NVTX)
+
   if (MSVC)
     target_compile_options(testxgboost PRIVATE
       $<$<COMPILE_LANGUAGE:CUDA>:-Xcompiler=/utf-8>

tests/cpp/data/test_sparse_page_dmatrix.cc

@@ -94,7 +94,7 @@ TEST(SparsePageDMatrix, ThreadSafetyException) {
 
   bool exception = false;
   int threads = 1000;
-#pragma omp parallel for
+#pragma omp parallel for num_threads(threads)
   for (auto i = 0; i < threads; i++) {
     try {
       auto iter = dmat->GetBatches<SparsePage>().begin();