Remove uneeded SKLEARN_BUILD_PARALLEL environment variable #29302
Description
This is only actually used if we build with setuptools and most of our CI builds are with Meson, i.e. the only setuptools build has BUILD_WITH_SETUPTOOLS: 'true'
Here are the usages of SKLEARN_BUILD_PARALLEL, most should be removed some should be kept (at least the one in setup.py and maybe the azure/install.sh although it could be only in the case of BUILD_WITH_SETUPTOOLS == "true")
❯ git grep -P SKLEARN_BUILD_PARALLEL
.github/workflows/wheels.yml: SKLEARN_BUILD_PARALLEL=3
.github/workflows/wheels.yml: SKLEARN_BUILD_PARALLEL: 3
build_tools/azure/install.sh: export SKLEARN_BUILD_PARALLEL=3
build_tools/circle/build_doc.sh:export SKLEARN_BUILD_PARALLEL=3
build_tools/cirrus/arm_wheel.yml: SKLEARN_BUILD_PARALLEL=5
build_tools/cirrus/build_test_arm.sh:export SKLEARN_BUILD_PARALLEL=$(($N_CORES + 1))
setup.py: parallel = os.environ.get("SKLEARN_BUILD_PARALLEL")