Use the new cmake FindPython strategy

According to [this recommendation](https://pybind11.readthedocs.io/en/stable/compiling.html#findpython-mode), we should soon switch to the new [FindPython strategy](https://cmake.org/cmake/help/latest/module/FindPython3.html).

Unfortunately, our initial tests showed that the `FindPython` strategy is mostly ignoring the hint `Python_ROOT_DIR` and defaults to the system python. This is then breaking all the python wheels which are generated.

This could be caused by the `Python3_FIND_STRATEGY` (default is `VERSION`) which might look for all python and then choose the most higher version. We should try with `LOCATION`, and see if it is able to be stick to the proposed `Python_ROOT_DIR`.