Pandas 2.2: Index.format is deprecated

[hcho3]

This line

xgboost/python-package/xgboost/data.py

Line 942 in 732e27c

feature_names = data.columns.format()

produces the following warning with Pandas 2.2:

xgboost/data.py:942: FutureWarning: Index.format is deprecated and will be removed in a future version.
Convert using index.astype(str) or index.map(formatter) instead.

The deprecation was introduced in pandas-dev/pandas#55439