[dask] Add scheduler address to dask config. (#7581)

- Add user configuration.
- Bring back to the logic of using scheduler address from dask.  This was removed when we were trying to support GKE, now we bring it back and let xgboost try it if direct guess or host IP from user config failed.

doc/tutorials/dask.rst

@@ -475,6 +475,32 @@ interface, including callback functions, custom evaluation metric and objective:
     )
 
 
+.. _tracker-ip:
+
+***************
+Tracker Host IP
+***************
+
+.. versionadded:: 1.6.0
+
+In some environments XGBoost might fail to resolve the IP address of the scheduler, a
+symptom is user receiving ``OSError: [Errno 99] Cannot assign requested address`` error
+during training.  A quick workaround is to specify the address explicitly.  To do that
+dask config is used:
+
+.. code-block:: python
+
+    import dask
+    from distributed import Client
+    from xgboost import dask as dxgb
+    # let xgboost know the scheduler address
+    dask.config.set({"xgboost.scheduler_address": "192.0.0.100"})
+
+    with Client(scheduler_file="sched.json") as client:
+        reg = dxgb.DaskXGBRegressor()
+
+XGBoost will read configuration before training.
+
 *****************************************************************************
 Why is the initialization of ``DaskDMatrix``  so slow and throws weird errors
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