Fix mypy error with the latest dask. (#8052)

* Fix mypy error with latest dask.

Dask is adding type hints to its codebase and as the result, checks in XGBoost can be
performed more rigorously.

- Remove compatibility with old dask version where multi lock was missing.
- Restrict input of `X` to be non-series.
- Adopt latest definition of `Delayed`.
- Avoid passing optional `host_ip`.
- Avoid deprecated `worker.nthreads`.