Don't validate feature when number of rows is 0.

[trivialfis]

Close #6268 .

The script provided by @pseudotensor still fails due to auc doesn't handle empty dataset. But that will be tracked in #6272 .

[codecov-io]

Codecov Report

Merging #6472 (1b9fd37) into master (703c2d0) will increase coverage by 0.15%.
The diff coverage is 100.00%.

@@            Coverage Diff             @@
##           master    #6472      +/-   ##
==========================================
+ Coverage   80.14%   80.29%   +0.15%     
==========================================
  Files          13       13              
  Lines        3515     3517       +2     
==========================================
+ Hits         2817     2824       +7     
+ Misses        698      693       -5     

Impacted Files	Coverage Δ
python-package/xgboost/core.py	80.62% <100.00%> (+0.04%)	⬆️
python-package/xgboost/dask.py	82.13% <100.00%> (+0.92%)	⬆️

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