[R] Enable multi-dimensional `base_margin` #10070

Job	Run time
Test installing XGBoost lib + building the C API demo (ubuntu-latest, 3.8)	3m 41s
Test Google C++ test (CPU) (macos-11)	8m 27s
Test Google C++ unittest (CPU Non-OMP) (ubuntu-latest)	5m 54s
Test Google C++ unittest (CPU SYCL) (ubuntu-latest, 3.8)	8m 0s
Code linting for C++	29s
	26m 31s

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