Eliminate use of System.out + proper error logging

[tovbinm]

Related to #3570

[CodingCat]

LGTM, Thanks!

please add [jvm-packages] in your title when you modify jvm-package files,

[codecov-io]

Codecov Report

Merging #3572 into master will increase coverage by 0.11%.
The diff coverage is 0%.

@@             Coverage Diff              @@
##             master    #3572      +/-   ##
============================================
+ Coverage     48.04%   48.15%   +0.11%     
  Complexity      188      188              
============================================
  Files           169      169              
  Lines         13345    13341       -4     
  Branches        457      457              
============================================
+ Hits           6412     6425      +13     
+ Misses         6708     6691      -17     
  Partials        225      225

Impacted Files	Coverage Δ	Complexity Δ
.../src/main/java/ml/dmlc/xgboost4j/java/Booster.java	55.19% <0%> (+1.18%)	34 <0> (ø)	⬇️
src/data/sparse_page_dmatrix.cc	92.89% <0%> (+0.59%)	0% <0%> (ø)	⬇️
src/data/sparse_page_raw_format.cc	64.15% <0%> (+22.64%)	0% <0%> (ø)	⬇️

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[hcho3]

@tovbinm Thanks!