## Description ##
mxnet-mkldnn on mac requires that openmp be enabled (else performance is 
degraded). There are currently instructions specifying that the Makefile needs 
to be modified to address this; however, that is not a good user experience. 

the issue is that mac by default does not include openmp by default and 
therefore a guard was added to prevent users from trying to build with this. 
the developer should instead not build with openmp enabled on mac and the 
Makefile should not attempt to catch this (the user may falsely believe they 
are using openmp when they are not).

## Checklist ##
### Essentials ###
Please feel free to remove inapplicable items for your PR.
- [ ] The PR title starts with [MXNET-$JIRA_ID], where $JIRA_ID refers to the 
relevant [JIRA issue](https://issues.apache.org/jira/projects/MXNET/issues) 
created (except PRs with tiny changes)
- [ ] Changes are complete (i.e. I finished coding on this PR)
- [ ] All changes have test coverage:
- Unit tests are added for small changes to verify correctness (e.g. adding a 
new operator)
- Nightly tests are added for complicated/long-running ones (e.g. changing 
distributed kvstore)
- Build tests will be added for build configuration changes (e.g. adding a new 
build option with NCCL)
- [ ] Code is well-documented: 
- For user-facing API changes, API doc string has been updated. 
- For new C++ functions in header files, their functionalities and arguments 
are documented. 
- For new examples, README.md is added to explain the what the example does, 
the source of the dataset, expected performance on test set and reference to 
the original paper if applicable
- Check the API doc at 
http://mxnet-ci-doc.s3-accelerate.dualstack.amazonaws.com/PR-$PR_ID/$BUILD_ID/index.html
- [ ] To the my best knowledge, examples are either not affected by this 
change, or have been fixed to be compatible with this change

### Changes ###
- [ ] Update MKLDNN readme docs
- [ ] remove guard that prevents openmp from being enabled on mac

## Comments ##
- If this change is a backward incompatible change, why must this change be 
made.
- Interesting edge cases to note here


[ Full content available at: 
https://github.com/apache/incubator-mxnet/pull/12724 ]
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