[CI] Fix CI Script and Broken Tests

[Hzfengsy]

Thanks @liushengjiezj for pointing out the bug and initial fix. This PR fixes the broken test and make CI green again

• Related issue: [CI Problem] python unit tests only run the cases in the arith folder #16510
• Initial PR: [CI][FIX] Fix Typo Bug of For Loop Statement in Bash Script #16520

cc @tqchen @Johnson9009

[Johnson9009]

Thanks for the quick fix, LGTM.

[Johnson9009]

It seems we haven't fixed all the failed cases, some cases are crashed and haven't been caught by CI (#16632 ). We have done some investigations and have some found, I will record them in #16633.