Catch dmlc::Error.

[trivialfis]

Fix #3643.

[trivialfis]

I switched safe_cuda to use dmlc logging facility without changing the catch statements. My bad...

[codecov-io]

Codecov Report

Merging #3751 into master will decrease coverage by 3.55%.
The diff coverage is n/a.

@@             Coverage Diff              @@
##             master    #3751      +/-   ##
============================================
- Coverage     55.51%   51.96%   -3.56%     
  Complexity      189      189              
============================================
  Files            69      180     +111     
  Lines          4624    14282    +9658     
  Branches        483      483              
============================================
+ Hits           2567     7421    +4854     
- Misses         1825     6629    +4804     
  Partials        232      232

Impacted Files	Coverage Δ	Complexity Δ
src/common/timer.h	56.52% <0%> (ø)	0% <0%> (?)
src/common/group_data.h	96.66% <0%> (ø)	0% <0%> (?)
src/common/io.h	71.42% <0%> (ø)	0% <0%> (?)
src/tree/updater_basemaker-inl.h	0% <0%> (ø)	0% <0%> (?)
tests/cpp/common/test_column_matrix.cc	100% <0%> (ø)	0% <0%> (?)
tests/cpp/data/test_simple_dmatrix.cc	97.56% <0%> (ø)	0% <0%> (?)
src/c_api/c_api.cc	23.88% <0%> (ø)	0% <0%> (?)
src/logging.cc	69.23% <0%> (ø)	0% <0%> (?)
include/xgboost/base.h	100% <0%> (ø)	0% <0%> (?)
src/tree/split_evaluator.cc	17.95% <0%> (ø)	0% <0%> (?)
... and 103 more

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[hcho3]

Thanks a lot!