The documentation states that to build from source you need CMake 3.13 or higher. However, according to https://github.com/dmlc/xgboost/blob/master/CMakeLists.txt#L1 CMake 3.14 or higher is required.
The documentation of xgboost is generated with recommonmark and sphinx. You can build it locally by typing "make html" in this folder. Checkout https://recommonmark.readthedocs.org for guide on how to write markdown with extensions used in this doc, such as math formulas and table of content.