Customizable worker port for the collective implementation.

[trivialfis]

Currently, XGBoost uses an available port returned by querying the OS. To support a more restricted networking environment, we need to add a user option to specify the worker port. This has been implemented for the tracker, but not for workers yet.

Note:
Does NCCL not yet support a user port for TCP sockets? NCCL_IB_HCA accepts a port.

Related:

• UCC integration. #11573
• Dask XGBoost fails on HTCondor cluster #11757
• XGBoost.dask : is there a feature for specifying worker port and host in RabitTracker? #11551
• while using XGBoost-spark 1.7.3 for distributed training, woker communication initialized failed due to use random port which is closed by firewall. #9792