* Use the name `Context`. * Pass a context object into `SetInfo`. * Add context to proxy matrix. * Add context to iterative DMatrix. This is to remove the use of the default number of threads during `SetInfo` as a follow-up on removing the global omp variable while preparing for CUDA stream semantic. Currently, XGBoost uses the legacy CUDA stream, we will gradually remove them in the future in favor of non-blocking streams.