[R] Ensure `ProxyDMatrix` creation keeps data until next iteration #11454

Job	Run time
Build libxgboost4j.dylib for MacOS (Apple Silicon)	1m 35s
Build libxgboost4j.dylib for MacOS (Intel)	3m 33s
Build libxgboost4j.so with CUDA	6m 9s
Build and test JVM packages (Linux, Scala 2.12)	10m 10s
Build libxgboost4j.so targeting glibc 2.17 (arch aarch64, runner linux-arm64-cpu)	1m 42s
Build and test JVM packages (Linux, Scala 2.13)	5m 29s
Build libxgboost4j.so targeting glibc 2.17 (arch x86_64, runner linux-amd64-cpu)	1m 53s
Build and test JVM packages (windows-latest)	9m 36s
Build and test JVM packages (macos-13)	10m 10s
Build docs for JVM packages	4m 40s
Test JVM packages with CUDA (Scala 2.12)	6m 8s
Test JVM packages with CUDA (Scala 2.13)	6m 11s
Deploy JVM packages to S3 (cpu)	7s
Deploy JVM packages to S3 (cpu)	11s
Deploy JVM packages to S3 (gpu)	8s
Deploy JVM packages to S3 (gpu)	8s
	1h 7m 50s

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