[WIP] MKL repos download for mac and windows + update to MKL(-DNN) 0.12 (#17396)

* Fix MKL build on MacOS

* Fix invalid return type, user_memory_->set_data_handle(buf) returns void.

* Fix type mismatch

* Implement downloading and linking of MKL repo on mac and windows

* Rework the way MKL libs are binded to avoid warnings and simplify code

* Switch to matching version of MKL-DNN

* Add mirror links

* Add renamed license file

* Add -fopenmp flag for linux mkl build as Slice op kernel is optimized using OpenMP

* Use clean_dep in the entire file for consistency

* Fix build. Constants are declrared as static in header outside the class scope now

* Reworked fix for `-openmp` flag using the suggestion from @gunan
Original version here https://github.com/gunan/tensorflow/commit/b4d39c5226e8bbafe084b1dfc35f4644f2d906c2