Deduplicate where we set the default kvikio thread count

I think this looks good. As noted, I have a worry that we're replicating default-setting in more than one place. But I think that is probably best done as followup.

What I kind of think should happen is that (somehow) all the options should be resolved before we're making the `XXXEngine`. Or else, constructing the options objects should apply all defaults everywhere.

_Originally posted by @wence- in https://github.com/NVIDIA/cudf/pull/23634#pullrequestreview-4930124511_

The issue concerns duplicated default-setting for the kvikio thread count before constructing the XXXEngine. Start by tracing where those options and defaults are resolved; done means the default is applied consistently from one clear location. No files or tests are named, so repository exploration is required.

Written by the indexing model from the issue text.