[Python] Make lib paths configurable
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feature-request
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Description
Currently, we use heuristics to determine the path of libxgboost.so: https://github.com/dmlc/xgboost/blob/master/python-package/xgboost/libpath.py. This heuristics may fail in edge cases, e.g. when `sys.base_prefix` does not refer to a suitable system directory.
We should allow users to specify a custom directory for libxgboost.so. It can be done via an environment variable or a configuration file.
Related: #9349, #6706
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