[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.

tests/python/test_with_dask.py

@@ -30,6 +30,7 @@ if tm.no_dask()['condition']:
     pytest.skip(msg=tm.no_dask()['reason'], allow_module_level=True)
 
 from distributed import LocalCluster, Client
+import dask
 import dask.dataframe as dd
 import dask.array as da
 from xgboost.dask import DaskDMatrix
@@ -1219,6 +1220,10 @@ class TestWithDask:
         os.remove(before_fname)
         os.remove(after_fname)
 
+        with dask.config.set({'xgboost.foo': "bar"}):
+            with pytest.raises(ValueError):
+                xgb.dask.train(client, {}, dtrain, num_boost_round=4)
+
     def run_updater_test(
         self,
         client: "Client",
@@ -1318,7 +1323,8 @@ class TestWithDask:
             with Client(cluster) as client:
                 workers = _get_client_workers(client)
                 rabit_args = client.sync(
-                    xgb.dask._get_rabit_args, len(workers), client)
+                    xgb.dask._get_rabit_args, len(workers), None, client
+                )
                 futures = client.map(runit,
                                      workers,
                                      pure=False,
@@ -1446,7 +1452,9 @@ class TestWithDask:
                 n_partitions = X.npartitions
                 m = xgb.dask.DaskDMatrix(client, X, y)
                 workers = _get_client_workers(client)
-                rabit_args = client.sync(xgb.dask._get_rabit_args, len(workers), client)
+                rabit_args = client.sync(
+                    xgb.dask._get_rabit_args, len(workers), None, client
+                )
                 n_workers = len(workers)
 
                 def worker_fn(worker_addr: str, data_ref: Dict) -> None: