Refactor CMakeLists.txt so that it will be possible to build cpp tests with different options, e.g. with OpenMP support

[StrikerRUS]

Refer to #3555 (comment).

Possibly related:

• Refactor CMake scripts. dmlc/xgboost#4323 (comment)
• Export c++ headers in CMake installation. dmlc/xgboost#4897
• [CI] Simplify CMake build with modern CMake techniques dmlc/xgboost#5871

[StrikerRUS]

Closed in favor of being in #2302. We decided to keep all feature requests in one place.

Welcome to contribute this feature! Please re-open this issue (or post a comment if you are not a topic starter) if you are actively working on implementing this feature.

[StrikerRUS]

Opening this issue due to active PR: #4489.

[github-actions]

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