multiple openmp warning: can deadlock on Windows too

[lucascolley]

Warnings from threadpoolctl with the text at https://github.com/joblib/threadpoolctl/blob/master/multiple_openmp.md#L34-L36 were very helpful in diagnosing some deadlocks recently in SciPy! scipy/scipy#23989 (comment)

I noticed that the text there specifies just Linux and macOS, but it was on Windows that we hit what appears to be the same problem.

[lucascolley]

I guess it was just known to be Linux at first, but probably not useful to specify the platforms now. From 57a59e4 I can see why the warning is raised on Windows too