Integrate examples into documents.

https://github.com/dmlc/xgboost/pull/7468 added support for sphinx gallery and integrates `guide-python` into the documents. We still have some other demos like dask, shap and survival etc.

- [ ] Integrate all examples. (https://github.com/dmlc/xgboost/pull/7530)
- [x] Revise cross-references to use rst ref. (https://github.com/dmlc/xgboost/pull/7522)
- [ ] Update some outdated examples like the basic walk-through. (https://github.com/dmlc/xgboost/pull/7753)
- [x] Check links in Python doc string and replace them with rst ref. (https://github.com/dmlc/xgboost/pull/7522)

Start with the Sphinx Gallery documentation integration and the existing guide-python documents. Review the dask, shap, survival, and basic walk-through examples listed in the issue, then verify that the remaining examples are integrated and the generated documentation links correctly.

Written by the indexing model from the issue text.