Add type hints to callback, compat, and config.py

[jjwang01]

Adding type hints to callback.py, compat.py, and config.py as part of #6496.

[trivialfis]

Thanks for the PR, could you please take a look into the failing tests?

I think adding types to callback might be tricky at the moment as we haven't exposed the packed booster to the public interface yet.

[jjwang01]

Yep, looks like all the error traces are complaining about the _PackedBooster object. Perhaps I should set the type hints for the respective variables I've added _PackedBooster hints to as Any? I believe that only Booster will cause a compile time error with the _PackedBooster object.

[trivialfis]

@jjwang01 Can we revert the changes in callback.py and keep the remaining? I plan to improve the packed booster and expose it to the public in the future. So right now we might just leave it as it's.

[trivialfis]

Closing as these modules are fully typed.