[docs] Revert #16919 and fix documentation build (#17270)

resolve merge conflict and fix docs

doc/source/conf.py

@@ -98,18 +98,8 @@ def __getattr__(cls, name):
 sys.modules["tensorflow.keras.callbacks"] = ChildClassMock()
 sys.modules["pytorch_lightning"] = ChildClassMock()
 
-
-def import_or_mock(module):
-    try:
-        # Same as `import module`
-        __import__(module, globals(), locals(), [], 0)
-    except ImportError:
-        sys.modules[module] = ChildClassMock()
-
-
-xgb_modules = ["xgboost", "xgboost.core", "xgboost.callback", "xgboost_ray"]
-for xgb_mod in xgb_modules:
-    import_or_mock(xgb_mod)
+assert "ray" not in sys.modules, (
+    "If ray is already imported, we will not render documentation correctly!")
 
 
 class SimpleClass(object):