[EM] Make page concatenation optional.

[trivialfis]

This PR introduces a new parameter extmem_concat_pages to make the page concatenation optional for GPU hist. In addition, the document is updated for the new GPU-based external memory.

todos

• Update document ([WIP][doc] Add document for the improved external memory support. #10817)
• Make sure the concat parameter is not changed during training.
• Tests.
• Be clear that concatenation only happens to the training data.

[trivialfis]

cc @rongou