Add enable_categorical to sklearn.

[trivialfis]

No description provided.

[codecov-commenter]

Codecov Report

Merging #7011 (aa4c060) into master (ee4f51a) will increase coverage by 0.00%.
The diff coverage is 100.00%.

@@           Coverage Diff           @@
##           master    #7011   +/-   ##
=======================================
  Coverage   81.71%   81.72%           
=======================================
  Files          13       13           
  Lines        3916     3917    +1     
=======================================
+ Hits         3200     3201    +1     
  Misses        716      716           

Impacted Files	Coverage Δ
python-package/xgboost/dask.py	81.35% <ø> (ø)
python-package/xgboost/sklearn.py	89.51% <100.00%> (+0.02%)	⬆️

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