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Install ensmallen headers when downloaded during build. #1900
While reading #1866 I realized that if CMake downloads ensmallen for the build, if the user installs mlpack it only installs the mlpack headers, meaning they can't ever build anything against mlpack unless they go and also install ensmallen.
This PR fixes that by having CMake install ensmallen, but only when it is downloaded during the build process because it is not available on the system.