Update unit_tests.rst

[paperfront]

When following the instructions described in https://xgboost.readthedocs.io/en/stable/contrib/unit_tests.html#running-pytest to run the python unit tests locally, the following tests will fail:

FAILED tests/python/test_cli.py::TestCLI::test_cli_model - AssertionError: assert False
FAILED tests/python/test_cli.py::TestCLI::test_cli_help - AssertionError: assert False
FAILED tests/python/test_cli.py::TestCLI::test_cli_model_json - AssertionError: assert False
FAILED tests/python/test_cli.py::TestCLI::test_cli_save_model - AssertionError: assert False
FAILED tests/python/test_demos.py::test_cli_regression_demo - FileNotFoundError: [Errno 2] No such file or directory: '/Users/mlacayo/xgboost/demo/../xgboost'
FAILED tests/python/test_demos.py::test_cli_binary_classification - subprocess.CalledProcessError: Command '['./runexp.sh']' returned non-zero exit status 1.

The reason for these errors is because the default CMake build options exclude the building of the CLI (behavior introduced in #9485 )

To help avoid confusion, I updated the python section of the unit test documentation to mention this build option.

Here is a sample stack trace for the test_cli_model test case that shows that the executable is missing:

self = <test_cli.TestCLI object at 0x123c78890>

    def get_exe(self):
        if platform.system() == 'Windows':
            exe = 'xgboost.exe'
        else:
            exe = 'xgboost'
        exe = os.path.join(self.PROJECT_ROOT, exe)
>       assert os.path.exists(exe)
E       AssertionError: assert False
E        +  where False = <function exists at 0x104b47600>('/Users/mlacayo/xgboost/xgboost')
E        +    where <function exists at 0x104b47600> = <module 'posixpath' (frozen)>.exists
E        +      where <module 'posixpath' (frozen)> = os.path

[trivialfis]

Thank you for raising this issue. Do you think it's better to automatically skip the tests using pytest.mark.skip?