Improve message about OMP_THREAD_NUM on startup #4173

Job	Run time
vale	46s
clang-format	20s
lychee_IGNORED	20s
forbidden_types	15s
copyright_headers	13s
cppcheck	6m 29s
mypy	33s
pydocstyle	22s
rstcheck	19s
unused_names	13s
black	38s
flake8	20s
pylint	35s
build_linux (ubuntu-20.04, gcc, boost, optimize, warning)	13m 4s
build_macos (macos-latest, clang, openmp, mpi, python, gsl, ltdl, boost, hdf5, optimize, warning)	28m 46s
build_linux (ubuntu-20.04, gcc, openmp, python, gsl, ltdl, boost, optimize, warning)	17m 57s
build_linux (ubuntu-20.04, gcc, mpi, python, gsl, ltdl, boost, optimize, warning)	21m 4s
build_linux (ubuntu-20.04, gcc, openmp, mpi, python, gsl, ltdl, boost, hdf5, sionlib, libneurosim...	32m 55s
sphinx-rtd	3m 56s
sphinx-conda	0s
	2h 9m 5s

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