[CI] Fix broken tests

[hcho3]

• Port patches from 4.0 branch
• Disable HistGradientBoosting tests for now

[codecov[bot]]

Codecov Report

All modified and coverable lines are covered by tests :white_check_mark:

Comparison is base (f0de3cb) 84.43% compared to head (7d2e48e) 84.35%.

Additional details and impacted files

```diff @@ Coverage Diff @@ ## mainline #542 +/- ## ============================================ - Coverage 84.43% 84.35% -0.08% ============================================ Files 70 70 Lines 6063 6064 +1 Branches 510 510 ============================================ - Hits 5119 5115 -4 - Misses 944 949 +5 ```

:umbrella: View full report in Codecov by Sentry.
:loudspeaker: Have feedback on the report? Share it here.