BUG: Fix XGBoost/LightGBM test execution and scikit-learn compatibility #3789

Job	Run time
lint (ubuntu-latest, 3.10)	1m 28s
build_test_job (ubuntu-latest, 3.9, xorbits)	7m 45s
build_test_job (ubuntu-latest, 3.10, xorbits)	6m 46s
build_test_job (ubuntu-latest, 3.11, xorbits)	6m 55s
build_test_job (ubuntu-latest, 3.12, xorbits)	6m 55s
build_test_job (macos-14, 3.11, xorbits)	5m 36s
build_test_job (macos-14, 3.12, xorbits)	5m 36s
build_test_job (windows-latest, 3.11, xorbits)	15m 17s
build_test_job (windows-latest, 3.12, xorbits)	14m 11s
build_test_job (ubuntu-latest, _mars/dataframe, 3.11)	28m 35s
build_test_job (ubuntu-latest, learn, 3.11)	6m 48s
build_test_job (ubuntu-latest, mars-core, 3.11)	31m 40s
build_test_job (ubuntu-20.04, hadoop, 3.10)	13m 18s
build_test_job (ubuntu-latest, vineyard, 3.11)	22m 29s
build_test_job (ubuntu-latest, doc-build, 3.11)	2m 16s
build_test_job (self-hosted, gpu, 3.11)	13m 27s
build_test_job (ubuntu-latest, jax, 3.11)	21m 37s
build_test_job (ubuntu-latest, datasets, 3.11)	8m 30s
build_test_job (ubuntu-latest, external-storage, 3.11)	6m 36s
	3h 45m 45s

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