Support categorical data in GPU weighted sketching.

[trivialfis]

Related: #6503 .

[codecov-io]

Codecov Report

Merging #6508 (42135cc) into master (afc4567) will increase coverage by 0.11%.
The diff coverage is n/a.

@@            Coverage Diff             @@
##           master    #6508      +/-   ##
==========================================
+ Coverage   80.23%   80.34%   +0.11%     
==========================================
  Files          13       13              
  Lines        3551     3552       +1     
==========================================
+ Hits         2849     2854       +5     
+ Misses        702      698       -4     

Impacted Files	Coverage Δ
python-package/xgboost/training.py	95.90% <0.00%> (-0.18%)	⬇️
python-package/xgboost/callback.py	79.95% <0.00%> (+0.24%)	⬆️
python-package/xgboost/core.py	80.88% <0.00%> (+0.26%)	⬆️
python-package/xgboost/tracker.py	95.11% <0.00%> (+1.12%)	⬆️

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