Fix problem of codecov not run for arrow support tests

- Modify run_test.sh cmake command
- Modify setup.sh to include pyarrow 0.17

tests/travis/run_test.sh

@@ -21,7 +21,8 @@ if [ ${TASK} == "python_test" ]; then
     # Build/test
     rm -rf build
     mkdir build && cd build
-    cmake .. -DUSE_OPENMP=ON -DCMAKE_VERBOSE_MAKEFILE=ON
+    conda install -c conda-forge pyarrow=0.17.*
+    cmake .. -DUSE_OPENMP=ON -DCMAKE_VERBOSE_MAKEFILE=ON -DARROW_HOME=$HOME/miniconda
     make -j$(nproc)
 
     echo "-------------------------------"
@@ -39,7 +40,7 @@ if [ ${TASK} == "python_test" ]; then
     # Run unit tests
     cd ..
     python -m pip install graphviz pytest pytest-cov codecov
-    python -m pip install datatable hypothesis
+    python -m pip install datatable pyarrow==0.17.* hypothesis 
     python -m pip install numpy scipy pandas matplotlib scikit-learn dask[complete]
     python -m pytest -v --fulltrace -s tests/python --cov=python-package/xgboost || exit -1
     codecov