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Fix setting of MKL_THREADING for cmake

Sebastian Ohlmann requested to merge fix_cmake_mkl_threading into main

Description

Previously, it was set depending on the MPI library. However, it needs to be set depending on the compiler. The default setting from the upstream MKL cmake config is to use Intel threading. We override it to use gnu threading when compiling with gcc.

Closes #985 (closed)

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