The guard protects the global variable from being changed by XGBoost. But this leads to a
bug that the `n_threads` parameter is no longer used after the first iteration. This is
due to the fact that `omp_set_num_threads` is only called once in `Learner::Configure` at
the beginning of the training process.
The guard is still useful for `gpu_id`, since this is called all the times in our codebase
doesn't matter which iteration we are currently running.
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