Starting from 1.0 release, CMake will generate installation rules to export all C++ headers. But
the c++ interface is much closer to the internal of XGBoost than other language bindings.
As a result it's changing quite often and we don't maintain its stability. Along with the
plugin system (see plugin/example in XGBoost's source tree), users can utilize some
existing c++ headers for gaining more access to the internal of XGBoost.