[dask] Check non-equal when setting threads. (#5421)

* Check non-equal.

`nthread` can be restored from internal parameter, which is mis-interpreted as
user defined parameter.

* Check None.

python-package/xgboost/dask.py

@@ -421,10 +421,14 @@ def dispatched_train(worker_addr):
             local_history = {}
             local_param = params.copy()  # just to be consistent
             msg = 'Overriding `nthreads` defined in dask worker.'
-            if 'nthread' in local_param.keys():
+            if 'nthread' in local_param.keys() and \
+               local_param['nthread'] is not None and \
+               local_param['nthread'] != worker.nthreads:
                 msg += '`nthread` is specified.  ' + msg
                 LOGGER.warning(msg)
-            elif 'n_jobs' in local_param.keys():
+            elif 'n_jobs' in local_param.keys() and \
+                 local_param['n_jobs'] is not None and \
+                 local_param['n_jobs'] != worker.nthreads:
                 msg = '`n_jobs` is specified.  ' + msg
                 LOGGER.warning(msg)
             else: