More tests for column split and vertical federated learning (#8985)

Added some more tests for the learner and fit_stump, for both column-wise distributed learning and vertical federated learning.

Also moved the `IsRowSplit` and `IsColumnSplit` methods from the `DMatrix` to the `MetaInfo` since in some places we only have access to the `MetaInfo`. Added a new convenience method `IsVerticalFederatedLearning`.

Some refactoring of the testing fixtures.

tests/cpp/plugin/helpers.h

@@ -52,18 +52,33 @@ class BaseFederatedTest : public ::testing::Test {
     server_thread_->join();
   }
 
-  void InitCommunicator(int rank) {
-    Json config{JsonObject()};
-    config["xgboost_communicator"] = String("federated");
-    config["federated_server_address"] = String(server_address_);
-    config["federated_world_size"] = kWorldSize;
-    config["federated_rank"] = rank;
-    xgboost::collective::Init(config);
-  }
-
   static int const kWorldSize{3};
   std::string server_address_;
   std::unique_ptr<std::thread> server_thread_;
   std::unique_ptr<grpc::Server> server_;
 };
+
+template <typename Function, typename... Args>
+void RunWithFederatedCommunicator(int32_t world_size, std::string const& server_address,
+                                  Function&& function, Args&&... args) {
+  std::vector<std::thread> threads;
+  for (auto rank = 0; rank < world_size; rank++) {
+    threads.emplace_back([&, rank]() {
+      Json config{JsonObject()};
+      config["xgboost_communicator"] = String("federated");
+      config["federated_server_address"] = String(server_address);
+      config["federated_world_size"] = world_size;
+      config["federated_rank"] = rank;
+      xgboost::collective::Init(config);
+
+      std::forward<Function>(function)(std::forward<Args>(args)...);
+
+      xgboost::collective::Finalize();
+    });
+  }
+  for (auto& thread : threads) {
+    thread.join();
+  }
+}
+
 }  // namespace xgboost