Disable parameter validation for Scikit-Learn interface. (#5167)

* Disable parameter validation for now.

Scikit-Learn passes all parameters down to XGBoost, whether they are used or
not.

* Add option `validate_parameters`.

tests/cpp/common/test_monitor.cc

@@ -30,8 +30,6 @@ TEST(Monitor, Logging) {
   run_monitor();
   output = testing::internal::GetCapturedStderr();
   ASSERT_EQ(output.size(), 0);
-
-  ConsoleLogger::Configure(Args{{"verbosity", "1"}});
 }
 }  // namespace common
 }  // namespace xgboost