Build fails: Could not find a package configuration file provided by "MKLDNN"

## 🐛 Bug

Build fails:
```
-- Caffe2: Protobuf version 3.21.12
CMake Error at /usr/local/lib/python3.9/site-packages/torch/share/cmake/Caffe2/public/mkldnn.cmake:7 (find_package):
By not providing "FindMKLDNN.cmake" in CMAKE_MODULE_PATH this project has
asked CMake to find a package configuration file provided by "MKLDNN", but
CMake did not find one.

Could not find a package configuration file provided by "MKLDNN" with any
of the following names:

MKLDNNConfig.cmake
mkldnn-config.cmake

Add the installation prefix of "MKLDNN" to CMAKE_PREFIX_PATH or set
"MKLDNN_DIR" to a directory containing one of the above files. If "MKLDNN"
provides a separate development package or SDK, be sure it has been
installed.
Call Stack (most recent call first):
/usr/local/lib/python3.9/site-packages/torch/share/cmake/Caffe2/Caffe2Config.cmake:106 (include)
/usr/local/lib/python3.9/site-packages/torch/share/cmake/Torch/TorchConfig.cmake:68 (find_package)
CMakeLists.txt:29 (find_package)
```

repology.com [doesn't find](https://repology.org/projects/?search=mkldnn) mkldnn.

There is a GitHub project [mkl-dnn](https://github.com/Intel-tensorflow/mkl-dnn), but its website redirects to ```oneDNN```.

## Environment

- DGL Version (e.g., 1.0): 1.0.2
- Backend Library & Version (e.g., PyTorch 0.4.1, MXNet/Gluon 1.3): PyTorch 2.0.0
- OS (e.g., Linux): FreeBSD 13.2
- How you installed DGL (`conda`, `pip`, source): trying to build as a FreeBSD port
- Build command you used (if compiling from source): regular cmake configure/build
- Python version: 3.9