[BUGFIX] Fix CI slowdown issue after removing 3rdparty/openmp

[bgawrych]

Description

This PR fixes slowdown on CI (#20092) introduced after removing 3rdparty/openmp.

GOMP by default doesn't use OMP_DYNAMIC and OMP_NESTED which allows to run parallel regions inside other parallel region.
e.g.

#pragma omp parallel for
for(int i .....) {
    do_sth()...
    #pragma omp parallel for
    for(int i ....) {}
}

Even if there is "if" directive causing sequential run it's still treated as parallel region - setting OMP_DYNAMIC and OMP_NESTED somewhat helps, but seems that without "if" clause in GOMP we get even better performance and we don't need to set above env variables.

CC: @akarbown

Checklist

Essentials

• PR's title starts with a category (e.g. [BUGFIX], [MODEL], [TUTORIAL], [FEATURE], [DOC], etc)
• Changes are complete (i.e. I finished coding on this PR)
• All changes have test coverage
• Code is well-documented

[mxnet-bot]

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[Zha0q1]

Thanks for the fix! Is this pr ready to merge now? Also do we know if this is the only slowdown?

[Zha0q1]

LGTM!

[akarbown]

@bgawrych, thanks for the fix!