OpenMP detection is still broken on MacOS

Despite an earlier PR claiming to fix it: https://github.com/dmlc/xgboost/pull/8684
It is still broken, at least with GCC:
```
checking whether OpenMP will work in a package... no
*****************************************************************************************
OpenMP is unavailable on this Mac OSX system. Training speed may be suboptimal.
To use all CPU cores for training jobs, you should install OpenMP by running\n
brew install libomp
```
Moreover, it gives a wrong recommendation (`libomp` is Clang-specific).

P. S. IMO it is a bad wording to use “should“ for an optional package manager. One does not need any – `libomp`, while not needed at all with GCC, can be installed directly. Also, there is Macports which has it, not just Homebrew.