Be more careful not to mix binaries that have been built with different
OpenMP implementations. Intel MKL is linked against libiomp5md. But
these runners build with MSVC `cl` or LLVM `clang-cl`, respectively.
I.e., they are linking against the MS implementation or the LLVM
implementation of OpenMP, respectively. That is dangerous, since it can
degrade performance or cause incorrect results.

Avoid that issue by linking against the reference implementations of the
BLAS and LAPACK libraries that don't use OpenMP at all.

CI (MSVC): Install reference BLAS and LAPACK libraries.