CI/tests print warnings about OpenMP calls on non-openMP processors

[seberg]

CI (and local tests) print a lot of:

[0 - 7f40bc29e740]   26.691357 {4}{openmp}: OpenMP runtime call from non-OpenMP-enabled Realm processor!
[0 - 7f40bc29e740]   26.692945 {4}{openmp}: OpenMP runtime call from non-OpenMP-enabled Realm processor!
[0 - 7f40bc29e740]   26.693267 {4}{openmp}: OpenMP runtime call from non-OpenMP-enabled Realm processor!
[0 - 7f40bc29e740]   26.694894 {4}{openmp}: OpenMP runtime call from non-OpenMP-enabled Realm processor!
[0 - 7f40bc29e740]   26.695078 {4}{openmp}: OpenMP runtime call from non-OpenMP-enabled Realm processor!

There is a good chance that this is OK/expected and comes from scikit-learn using OpenMP. Although it would be nice to figure out how to tell scikit-learn not to do this (of find out what else may be the reason).