[mt] Add missing CPU tests.

[trivialfis]

ref #9043

[Copilot]

Pull request overview

This PR adds missing CPU tests for multi-target functionality and includes defensive validation checks in the C++ implementation to prevent unsupported features with multi-target trees.

Changes:

• Added two new CPU test functions (test_eta and test_column_sampling) to cover learning rate and column sampling functionality for multi-target models
• Added validation checks in the C++ code to prevent usage of categorical features and distributed training with multi-target trees, which are not yet supported

Reviewed changes

Copilot reviewed 2 out of 2 changed files in this pull request and generated 1 comment.

File	Description
tests/python/test_multi_target.py	Adds CPU tests for learning rate (eta) and column sampling to ensure parity with GPU test coverage
src/tree/updater_quantile_hist.cc	Adds defensive checks to fail early when unsupported features (categorical features, distributed training) are used with multi-target trees

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[trivialfis]

Merged tests into #11965