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We were getting regular CI failures particularly related to multiprocessing. Stefan suspected it might be fixed by an updated OpenBLAS. I've rerun the CI on this PR mulitple times and it passed everytime, so I think this may solve the annoying CI failures.
This involves dropping NumPy 1.20 (numpy/numpy#19495). According to NEP 29, we should drop 1.20 by January 2023. Given the current status of main, I suspect we will be lucky to get a scikit 0.20 final release out this month. So we will only be a month of so early on dropping NumPy 1.20 according to NEP 29. Moreover, we already require more recent versions of NumPy for some of our wheels.