Correct style warnings from clang-tidy for rabit.

[trivialfis]

This PR corrects most of the style warnings from tidy. Other warnings will be addressed in a different PR.

• thread local is removed.

[hcho3]

@trivialfis How did you run clang-tidy? We should modify CI to run clang-tidy for Rabit as well.

[trivialfis]

@hcho3 I modified the tests/ci_build/tidy.py script. There are other more serious warnings like zero division and null pointer dereference so I can't run it on CI yet.

[codecov-commenter]

Codecov Report

Merging #6095 into master will increase coverage by 0.09%.
The diff coverage is n/a.

@@            Coverage Diff             @@
##           master    #6095      +/-   ##
==========================================
+ Coverage   78.52%   78.62%   +0.09%     
==========================================
  Files          12       12              
  Lines        3069     3069              
==========================================
+ Hits         2410     2413       +3     
+ Misses        659      656       -3     

Impacted Files	Coverage Δ
python-package/xgboost/tracker.py	95.18% <0.00%> (+1.20%)	⬆️

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