Followup of the OMP issue

Motivation

See:

• https://github.com/optuna/optuna/pull/6753

[!IMPORTANT] Any PRs without benchmarking results and discussion about Windows will be closed.

Suggestion

early yield:

def limit_threads_in_optimization(...) -> ...:
    if sys.platform == "darwin":
        yield
    else:
        # the current routine

Question:

• Is it only about Linux? Or does it also relate to Windows?
• Is limiting to max_thread=1 the best solution? (benchmarking required)
• Should we rename the function as well, given the thread limit will not be applied to MacOS?

Additional context (optional)

No response