Use thread-local thread on setting API on Flexiblas (if it's even possible) when relevant

[itamarst]

If Flexiblas is e.g. using MKL, we'd want it to use MKL mkl_set_num_thread_local to set the number of threads.

Approaches could include:

• Bypassing Flexiblas and calling the MKL API ourselves (but what happens when the backend is changed?)
• Asking Flexiblas to add a thread-local API that would call underlying BLAS's thread-local-size-setting API when available.