Add back xgboost.rabit in 1.7

[hcho3]

Closes #8406 by making xgboost.rabit available in 1.7. Also add a warning to direct users to use xgboost.collective instead.

[hcho3]

@trivialfis @rongou Can I get a review for this? One downstream project, modin, uses xgboost.rabit in their code.

[rongou]

@hcho3 the problem is this won't work for xgboost any more since the c++ code depends on the communicators. If we have to keep the existing api, one option is to delegate everything to the xgboost.collective module.

[hcho3]

@rongou Doesn't xgboost.collective fall down to Rabit in the default setting? For example, xgboost.collective.init() calls rabit::Init internally.

[rongou]

Yes but it needs to set up the RabitCommunicator.

[hcho3]

@rongou I see. Do you have bandwidth to set up the delegation to xgboost.collective? I can give it a try, but I'm afraid I'd get it wrong, given the substantial difference between xgboost.collective.init (takes in dictionary) and xgboost.rabit.init (takes in list of strings)

[rongou]

Ok I'll take a look.

[hcho3]

Thanks! Let me know if there's anything I can help. Also, feel free to file a new pull request when you're done.

[rongou]

Do we just want to add back init/finalize to fix modin, or do you want to add all other functions too?

[hcho3]

@rongou Let's try to add all functions.