[CI] Github Actions failed due to the `add-path` command is disabled

[comaniac]

According to the error message [1] and Github announcement [2], Github Actions now forbids commands such as add-path or set-env that changes the system environment for the security concern [3][4]. Although the announcement was on Oct. 1st, looks like it is effective since today.

Accordingly, we need to modify the Github workflow to make it work again.

cc @tqchen @zhiics

[1] Failed CI Example
[2] GitHub Actions: Deprecating set-env and add-path commands
[3] Google discloses 'high' severity security flaw in GitHub
[4] add-path and set-env Runner commands are processed via stdout

[comaniac]

Blocking #6903, #6923, #6924

[tqchen]

#6926