Scalable, Portable and Distributed Gradient Boosting

[backport][EM] Disable the `on_host` option for CPU inputs. (#11333) (#11334)

Passed in 4s
:pipeline:
:pipeline:test -f tests/buildkite/pipeline.yml && buildkite-agent pipeline upload tests/buildkite/pipeline.yml || true
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Total Job Run Time: 4s