XGBRegressor: change random_state no effect
It seems (I didn't know it myself before starting to dig for an answer :) ), that xgboost uses random generator only for sub-sampling, see this Laurae's comment on a similar github issue. And otherwise behavior is deterministic.
If you would have used sampling, there is an issue in the seed/random_state handling by the current sklearn API in xgboost. seed is indeed claimed to be deprecated, but it seems that if one provides it, it will still be used over random_state, as can be seen here in the code. This comment is relevant only when you have seed not None