[dask] Use DMLC_TASK_ID.

[trivialfis]

Used to make better logging in rabit. Without this parameter, it would be:

task NULL got new rank 0

[codecov-io]

Codecov Report

Merging #5415 into master will increase coverage by 0.01%.
The diff coverage is 100.00%.

@@            Coverage Diff             @@
##           master    #5415      +/-   ##
==========================================
+ Coverage   84.07%   84.08%   +0.01%     
==========================================
  Files          11       11              
  Lines        2411     2413       +2     
==========================================
+ Hits         2027     2029       +2     
  Misses        384      384              

Impacted Files	Coverage Δ
python-package/xgboost/dask.py	90.36% <100.00%> (+0.06%)	⬆️

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