handle $PATH not being set in python library

[JelleZijlstra]

Fixes #3844

[codecov-io]

Codecov Report

Merging #3845 into master will increase coverage by 0.19%.
The diff coverage is 66.66%.

@@             Coverage Diff              @@
##             master    #3845      +/-   ##
============================================
+ Coverage     51.85%   52.05%   +0.19%     
  Complexity      203      203              
============================================
  Files           181      181              
  Lines         14360    14364       +4     
  Branches        495      495              
============================================
+ Hits           7447     7477      +30     
+ Misses         6675     6649      -26     
  Partials        238      238

Impacted Files	Coverage Δ	Complexity Δ
python-package/xgboost/core.py	82.02% <66.66%> (+4.23%)	0 <0> (ø)	⬇️
python-package/xgboost/compat.py	90.9% <0%> (+1.81%)	0% <0%> (ø)	⬇️

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[RAMitchell]

In what situations is path not set?

[JelleZijlstra]

Our code was running a subprocess with a restricted environment (passing only those environment variables that were necessary).

[RAMitchell]

PR looks fine, we can merge it after 0.81 release

[hcho3]

LGTM

[hcho3]

Thanks!