Support hessian in host sketch container.

[trivialfis]

• Implement some utilities for threads to reduce dependency on omp_get_max_threads.
• Merge hessian with sample weights.

[codecov-commenter]

Codecov Report

Merging #7081 (35a838a) into master (f937f51) will not change coverage.
The diff coverage is n/a.

@@           Coverage Diff           @@
##           master    #7081   +/-   ##
=======================================
  Coverage   81.61%   81.61%           
=======================================
  Files          13       13           
  Lines        3899     3899           
=======================================
  Hits         3182     3182           
  Misses        717      717           

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[trivialfis]

This is part of refactoring the approx tree method. In the implementation of current approx the sample weight is ignored, but the impl in this PR multiples the sample weight with hessian.