BUG: Fix XGBoost/LightGBM test execution and scikit-learn compatibility #3790

Job	Run time
lint (ubuntu-latest, 3.10)	1m 26s
build_test_job (ubuntu-latest, 3.9, xorbits)	7m 31s
build_test_job (ubuntu-latest, 3.10, xorbits)	6m 56s
build_test_job (ubuntu-latest, 3.11, xorbits)	6m 58s
build_test_job (ubuntu-latest, 3.12, xorbits)	7m 41s
build_test_job (macos-14, 3.11, xorbits)	5m 35s
build_test_job (macos-14, 3.12, xorbits)	5m 46s
build_test_job (windows-latest, 3.11, xorbits)	15m 37s
build_test_job (windows-latest, 3.12, xorbits)	15m 14s
build_test_job (ubuntu-latest, _mars/dataframe, 3.11)	29m 21s
build_test_job (ubuntu-latest, learn, 3.11)	5m 59s
build_test_job (ubuntu-latest, mars-core, 3.11)	31m 21s
build_test_job (ubuntu-20.04, hadoop, 3.10)	9m 2s
build_test_job (ubuntu-latest, vineyard, 3.11)	21m 53s
build_test_job (ubuntu-latest, doc-build, 3.11)	2m 34s
build_test_job (self-hosted, gpu, 3.11)	13m 19s
build_test_job (ubuntu-latest, jax, 3.11)	21m 31s
build_test_job (ubuntu-latest, datasets, 3.11)	8m 43s
build_test_job (ubuntu-latest, external-storage, 3.11)	7m 49s
	3h 44m 16s

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