Fix clang warnings. (#9447)

- static function in header. (which is marked as unused due to translation unit
visibility).
- Implicit copy operator is deprecated.
- Unused lambda capture.
- Moving a temporary variable prevents copy elision.

src/data/iterative_dmatrix.cu

@@ -114,7 +114,7 @@ void IterativeDMatrix::InitFromCUDA(Context const* ctx, BatchParam const& p,
   this->info_.num_row_ = accumulated_rows;
   this->info_.num_nonzero_ = nnz;
 
-  auto init_page = [this, &proxy, &cuts, row_stride, accumulated_rows, get_device]() {
+  auto init_page = [this, &cuts, row_stride, accumulated_rows, get_device]() {
     if (!ellpack_) {
       // Should be put inside the while loop to protect against empty batch.  In
       // that case device id is invalid.