Add Kryo integration tests

[tgravescs]

Describe the bug
We have had issues with kryo not being updated or failing. CDH runs with Kryo on all the time, we need to get some integration tests that run with kryo on.

[tgravescs]

reference #3468

[wbo4958]

Hi Tom, It's hard to add integration test for GpuKryoRegistrator since we can't modify the "spark.serializer" conf during runtime.

I just added a unit test for it. Could you help to give some comments on it?

[tgravescs]

I think a unit test here is fine, we could also potentially run it in the nightly as a separate command but that would likely take longer. I'll take a look at pr