[backport] Fix multiclass auc with empty dataset. (#6947)

[trivialfis]

Not necessary to backport, but the CI is flaky due to this bug.

[codecov-commenter]

Codecov Report

Merging #6960 (38b5e54) into release_1.4.0 (651c4ac) will not change coverage.
The diff coverage is n/a.

@@              Coverage Diff               @@
##           release_1.4.0    #6960   +/-   ##
==============================================
  Coverage          81.83%   81.83%           
==============================================
  Files                 13       13           
  Lines               3859     3859           
==============================================
  Hits                3158     3158           
  Misses               701      701           

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