Headless rendering does not work on Windows+WSL

**Precontidtions**
I am using Ubuntu 20.04 LTS as WSL and would like to render 3D objects (*.stl/*.obj files) in order to automatically generate pictures of these objects.

Basically the issue is the same as #940 but I will summarize it shortly.

**I performed the following steps:**
Follow the instructions from [here](https://github.com/intel-isl/Open3D/blob/master/docs/tutorial/visualization/headless_rendering.rst) except that I did not use a virtual environment.

For OSMesa, I tried two different approaches:
1.) Follow the instruction from the link above
2.) Follow the instructions from [here](https://github.com/intel-isl/Open3D/issues/1647#issuecomment-612746982) except that I used BUILD_GLEW=OFF and DBUILD_GLFW=OFF

Both approaches resulted in `[Open3D ERROR] GLFW Error: X11: The DISPLAY environment variable is missing` when trying to execute the example from [headless_rendering.py](https://github.com/intel-isl/Open3D/blob/master/examples/python/visualization/headless_rendering.py)

It seems to me that the 2 compiler flags does not have any impact. As I cannot find any solution for this problem I am writing this issue in hopes that someone could explain step by step what needs to be done on a clean OS in order to get this thing working.

My output from GLInfo
`[Open3D INFO] TryGLVersion: 1.0 GLFW_OPENGL_ANY_PROFILE
[Open3D DEBUG] GL_VERSION: 3.1 Mesa 19.0.8
[Open3D DEBUG] GL_RENDERER: softpipe
[Open3D DEBUG] GL_VENDOR: VMware, Inc.
[Open3D DEBUG] GL_SHADING_LANGUAGE_VERSION: 1.40
[Open3D INFO] TryGLVersion: 3.2 GLFW_OPENGL_FORWARD_COMPAT GLFW_OPENGL_CORE_PROFILE
[Open3D WARNING] GLFW Error: OSMesa: Foward-compatible contexts not supported
[Open3D DEBUG] Failed to create window
[Open3D INFO] TryGLVersion: 4.1 GLFW_OPENGL_ANY_PROFILE
[Open3D WARNING] GLFW Error: OSMesa: Failed to create context
[Open3D DEBUG] Failed to create window
[Open3D INFO] TryGLVersion: 3.3 GLFW_OPENGL_CORE_PROFILE
[Open3D DEBUG] GL_VERSION: 3.3 (Core Profile) Mesa 19.0.8
[Open3D DEBUG] GL_RENDERER: softpipe
[Open3D DEBUG] GL_VENDOR: VMware, Inc.
[Open3D DEBUG] GL_SHADING_LANGUAGE_VERSION: 3.30
[Open3D INFO] TryGLVersion: 3.3 GLFW_OPENGL_FORWARD_COMPAT GLFW_OPENGL_CORE_PROFILE
[Open3D WARNING] GLFW Error: OSMesa: Foward-compatible contexts not supported
[Open3D DEBUG] Failed to create window
[Open3D INFO] TryGLVersion: 3.3 GLFW_OPENGL_COMPAT_PROFILE
[Open3D WARNING] GLFW Error: OSMesa: Failed to create context
[Open3D DEBUG] Failed to create window
[Open3D INFO] TryGLVersion: 3.3 GLFW_OPENGL_ANY_PROFILE
[Open3D WARNING] GLFW Error: OSMesa: Failed to create context
[Open3D DEBUG] Failed to create window
[Open3D INFO] TryGLVersion: 1.0 GLFW_OPENGL_ANY_PROFILE
[Open3D DEBUG] GL_VERSION: 3.1 Mesa 19.0.8
[Open3D DEBUG] GL_RENDERER: softpipe
[Open3D DEBUG] GL_VENDOR: VMware, Inc.
[Open3D DEBUG] GL_SHADING_LANGUAGE_VERSION: 1.40`

As an user who just wants to use the library for rendering I spent a lot of time figuring out how to install missing dependencies etc. . It would be nice to get an installation script that handles all of these things.