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Consistent Python relative imports. #11006

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This helps align the code base to use relative import consistently similar to the sklearn codebase. The testing module still has mixed import types as most of the helper code is in the init module.

This helps align the code base to use relative import consistently similar to the sklearn
codebase. The testing module still has mixed import types as most of the helper code is in
the init module.
enable_sparse_data_optim=feature_prop.enable_sparse_data_optim,
has_validation_col=feature_prop.has_validation_col,
)
with config_context(verbosity=verbosity), CommunicatorContext(
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Need to different PR to fix the use_rmm here.

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