[coll] Prevent race during error check. (dmlc#10319)

Author: trivialfis

src/collective/loop.cc

@@ -185,7 +185,8 @@ void Loop::Process() {
       if (!rc.OK()) {
         set_rc(std::move(rc));
       } else {
-        CHECK(qcopy.empty());
+        std::unique_lock lock{mu_};
+        CHECK(qcopy.empty() || stop_);
       }
     } catch (std::exception const& e) {
       curr_exce_ = std::current_exception();