Support external builds of xgboost/arrow

[chrisburr]

Summary

Adds support for building against an external xgboost/arrow build. This is useful for package ecosystems with policies around vendoring and also fixes issues I had with the ExternalProject_Add builds failing.

Type of Change

Build/CI changes

Test Plan

Build locally in a pixi environment which had xgboost/arrow available externally.

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[Cyan4973]

I wonder if we could have a CI test for this scenario, thus proving it works, but also ensuring it continues to work in the future

[chrisburr]

I wonder if we could have a CI test for this scenario, thus proving it works, but also ensuring it continues to work in the future

If the test is added the question is how to install the dependencies. I'm biased but my suggestion would be to add a pixi.toml to the repo and use conda-forge as the source of packages. I've already done this for my local environment so I'm happy to contribute it along with some GitHub Actions config.

It would also be possible to use conda-forge without using pixi but it then makes it more difficult to have a lock file for stability.