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Find{BLAS,LAPACK}: Add missing thread library for Intel MKL on Win32

evatux requested to merge evatux/cmake:mkl-win32 into master

The patch also updates the documentation to explicitly state that Intel10_32 stands for threaded case (linked with Intel OpenMP). Later, one may need to add Intel10_32_seq to support linking with the sequential version of Intel MKL.

Fixes: #20857 (closed)

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