Fix amalgamation scipt and document that all other dependencies shall be disabled in config.mk.
This includes the changes proposed in #3667 (comment).
Without these changes, calling e.g. make MIN=1 libmxnet_predict.js in the amalgamation folder will fail due to unresolved dependencies (e.g. #include <mkl/mkl_batch_norm-inl.h>)
make MIN=1 libmxnet_predict.js
Fix amalgamation scipt.
Document that all other dependencies shall be disabled in config.mk