Quick fix for memory leak in CPU Hist.

[trivialfis]

Closes #3579 .

The proper fix is putting quantiles in DMatrix, which we have already done for GPU Hist. See #5143 for related future roadmap. This PR is a band-aid for fixing the old issue as we want a fully working 1.0 release.

[trivialfis]

Looking back, this PR is only made possible by many previous refactorings.

[trivialfis]

@hcho3 @CodingCat Is there any particular bug for hist that's considered as critical? We @RAMitchell would like to make hist as the default algorithm. 1.0 seems to be a right opportunity.

[trivialfis]

Ping @hcho3

[hcho3]

@trivialfis I’m okay with making hist the default. We do need to make further improvements to hist, to make it faster and more memory efficient.

[trivialfis]

@hcho3 Well, improvement is endless unless there's a better algorithm succeeds hist (like what hist does to exact). But it would be the right time to make hist as the default now.

Are you Okay with this PR?

[hcho3]

@trivialfis I was referring to future improvements.

[trivialfis]

@hcho3 Got it. Will create a new PR for setting it as default.

Would you like to review this fix?