[Python] DMatrix parameter `data_split_mode` is not documented

[david-cortes]

Python class DMatrix allows a parameter data_split_mode in its constructor, but the docstrings leave this part blank where they should mention what it does: https://github.com/dmlc/xgboost/blob/7196c9d95e706566424ae0b7ea0046fe9c5a3849/python-package/xgboost/core.py#L838

[trivialfis]

It's a working in progress feature by @rongou for feature-based distributed training and federated training.

[rongou]

Yeah got pulled into another project, will come back to this in a bit. @trivialfis feel free to assign this to me.