XGBoostError: [19:37:34] ../src/tree/updater_gpu_hist.cu:770: Exception in gpu_hist: [19:37:34] ../src/common/device_helpers.cuh:132: NCCL failure
XGBoost does not yet support WSL2 because NCCL does not support WSL2.
EDIT. According to https://github.com/NVIDIA/nccl/issues/442#issuecomment-947782290, latest NCCL is reported to work on WSL2. The current XGBoost is built with older version of NCCL, hence the failure.