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Remove uneeded SKLEARN_BUILD_PARALLEL environment variable #29302

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@lesteve

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@lesteve

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")

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