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This reverts commit 656d2676.

* fixed cpplint errors and disable warning only for VS

* wrap more pragma warning

* don't cache `num_thread`, to avoid change outside

* rename

* update document

* Update docs/Parameters.rst

* Update include/LightGBM/config.h

* Apply suggestions from code review
Co-Authored-By: Nikita Titov <nekit94-08@mail.ru>

* Apply suggestions from code review
Co-Authored-By: Nikita Titov <nekit94-08@mail.ru>
Co-authored-by: Nikita Titov <nekit94-08@mail.ru>

* some refines

* more omp refactoring

* format define

* fix merge bug

* some fixes

* fix some warnings

* Apply suggestions from code review

* Apply suggestions from code review

* remove dup codes

* no omp_set_nested

* Update openmp_wrapper.h

* added all necessary includes - fixed build/include_what_you_use error

* fixed the order of includes (build/include_order)

* Added possibility to compile without openmp (useful for clang on Mac)

* Added CMake option to create dylib on MacOS