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Add parquet build option #7139

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bridgream
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With the newly added Parquet support to dmlc-core, we only need to add the build flag in CMakeLists to enable this feature in XGBoost as well.
Related: #6719 , although we already have an iterator interface solution.

@trivialfis
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Dealing with MSVC is always fun. ;-)

@bridgream
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Thanks for helping! Let me know if extra tests or edits are needed.

@trivialfis
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Hmm .. dmlc unittest is not playing well with unity build for some reason.

@trivialfis
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I just built XGBoost with latest dmlc core using unity build and VC 2019. Maybe we should upgrade the version on CI

@trivialfis
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Thanks for the great work! I managed to update dmlc core so this PR is closed instead.

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