MAINT: add sanity-checks to be run at import time #11174
Backport of #11169.
This checks for potential BLAS issues, which are useful to catch early.
As suggested by @charris at #11168. This may be a bit overkill, so not sure if we want this, but on the other hand this additional import-time check probably does not cost much. The additional advantage is that import-time failures will force the downstream to seriously consider addressing the issue :)