MKL Windows fixes
Thanks to @jrandow for reporting.
Requires to install Intel oneAPI with MKL and TBB enabled (on Windows).
Maybe we should switch to this in the future: https://www.intel.com/content/www/us/en/develop/documentation/onemkl-macos-developer-guide/top/getting-started/cmake-config-for-onemkl.html
Follow-up on !4001 (merged).
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Feature description was added to the changelog -
Tests covering your feature were added? -
Any new feature or behavior change was documented?