[Bug Report] Can't load xgboost models created with Sagemaker Estimator

Stumbled upon this while trying to evaluate my xgboost model
` model = pickle.load(open("./data/xgboost-model", "rb"))

UnpicklingError: unpickling stack underflow`

I get this same error while doing evaluation with a script processor on SageMaker Pipelines or trying to run it locally.

I'm running the abalone example evaluation script