Philip Hyunsu Cho 9b0af6e882 Enable OpenMP with Apple Clang (Mac default compiler) (#5146)
* Add OpenMP as CMake target

* Require CMake 3.12, to allow linking OpenMP target to objxgboost

* Specify OpenMP compiler flag for CUDA host compiler

* Require CMake 3.16+ if the OS is Mac OSX

* Use AppleClang in Mac tests.

* Update dmlc-core
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