[Dask] Add example of using custom callback in Dask

[hcho3]

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[codecov-commenter]

Codecov Report

Merging #6995 (2a34c60) into master (6e52aef) will not change coverage.
The diff coverage is n/a.

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##           master    #6995   +/-   ##
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  Coverage   81.97%   81.97%           
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  Files          13       13           
  Lines        3917     3917           
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  Hits         3211     3211           
  Misses        706      706           

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[trivialfis]

Thanks for the example. Other than the comment inlined, I recommend using the black python formatter, it's awesome and its style is used by dask/distributed/optuna and many other projects.

[trivialfis]

Left a few comments but looks good to me overall. Thanks for the example!