Fix multiclass auc with empty dataset.

[trivialfis]

Continue #6946 .

• Make sure all reduce is called for cuda code path.
• Make sure we are using multi-class auc when there's empty dataset.

[codecov-commenter]

Codecov Report

Merging #6947 (46980d7) into master (2a9979e) will not change coverage.
The diff coverage is n/a.

@@           Coverage Diff           @@
##           master    #6947   +/-   ##
=======================================
  Coverage   82.01%   82.01%           
=======================================
  Files          13       13           
  Lines        3908     3908           
=======================================
  Hits         3205     3205           
  Misses        703      703           

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