More categorical tests and disable shap sparse test.

[trivialfis]

No description provided.

[hcho3]

Please specify the reason argument in pytest.xfail(). This way, pytest will report why the test was skipped.

[trivialfis]

Done:

========================================================================================= short test summary info =========================================================================================
XFAIL tests/python-gpu/test_gpu_prediction.py::TestGPUPredict::test_shap_interactions
  reason: GPU shap with sparse is flaky: https://github.com/dmlc/xgboost/issues/6074

[hcho3]

Grr... MSVC is acting up again:

LINK : fatal error LNK1000: Internal error during ParseCommandLine [C:\Users\Administrator\workspace\xgboost-win64_PR-6219\build\src\objxgboost.vcxproj]

Let me restart the Windows machine.