How do you do 1-vs-rest classifiers in XGBoost Library (Not Sklearn)?
Try to give sklearn wrapper of xgboost to sklearn OneVsRestClassifier.
https://xgboost.readthedocs.io/en/latest/python/python_api.html#module-xgboost.sklearn
If it doesn't work you can create four different label arrays in which samples belong to corresponding class labeled as 1s, and others as 0. Then training with each of the label arrays you can get results for each class.