[ci] enable OpenMP support in cpp tests (#6676)

* Update test-windows.ps1

* Update test.sh

---------
Co-authored-by: James Lamb <jaylamb20@gmail.com>

.ci/test-windows.ps1

@@ -22,7 +22,7 @@ if ($env:TASK -eq "r-package") {
 }
 
 if ($env:TASK -eq "cpp-tests") {
-  cmake -B build -S . -DBUILD_CPP_TEST=ON -DUSE_OPENMP=OFF -DUSE_DEBUG=ON -A x64
+  cmake -B build -S . -DBUILD_CPP_TEST=ON -DUSE_DEBUG=ON -A x64
   cmake --build build --target testlightgbm --config Debug ; Check-Output $?
   .\Debug\testlightgbm.exe ; Check-Output $?
   Exit 0

.ci/test.sh

@@ -50,7 +50,6 @@ fi
 if [[ "$TASK" == "cpp-tests" ]]; then
     cmake_args=(
         -DBUILD_CPP_TEST=ON
-        -DUSE_OPENMP=OFF
         -DUSE_DEBUG=ON
     )
     if [[ $METHOD == "with-sanitizers" ]]; then