Wrong relocatable package in dmlc_core

[kangsheng89]

@trivialfis Based on #6734, i further found out the generated package /<install>/lib/cmake/DMLCTargets.cmake has the similar issues.
https://github.com/dmlc/dmlc-core/blob/f0ff3146705e27ac2b1e6081fa0983a8a6fda72d/CMakeLists.txt#L171

For this changes, which branch of the dmlc-core i should targeted for PR, then i can further PR the ref git submodule on the xgboost repo?

[trivialfis]

I think you need to open a PR on dmlc-core: https://github.com/dmlc/dmlc-core/tree/main Then we can update the submodule on xgboost.

[kangsheng89]

@trivialfis sure, i will do it on the dmlc_core

[kangsheng89]

@trivialfis I think there are some issues due to doxygen version changes, perviously it was 1.8, now is updated to 1.9.1 and build machine complaint on doc/Doxyfile (this file is formatted based on v1.8.8) config of COLS_IN_ALPHA_INDEX

fix can be done in 2way, either

1. doc/Doxyfile to update this file
2. update https://github.com/dmlc/dmlc-core/blob/main/.github/workflows/githubci.yml with fixed version on doxygen 1.8++