Does one need to build from source for multi-GPU support?

or 1.5.0 supports both GPU and multiple-GPU ? If so, does one need to install NCCL2 ?

1.5.0 should support multiple GPUs out of the box. There’s no need to build it from the source. On the other hand, you will need to install Dask in order to use multiple GPUs with the XGBoost Python package. Take a look at