[train] XGBoost, LightGBM, Sklearn Trainers to use train.report

[matthewdeng]

• Need to update tune.report calls to train.report to access the new codepath.
• Need to update xgboost_ray, lightgbm_ray, tune-sklearn packages.

PRs:

• [train] Storage: Update XGBoost + LightGBM callback APIs #38558
• Use new train.report API lightgbm_ray#49
• Use new train.report API xgboost_ray#292