[docs] add information about installing libgomp

[AWSjswinney]

On the python instructions, add information about installing libgomp
because it may not be installed by default and is required for
lightgbm to run.

This is to address #4484

[ghost]

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[StrikerRUS]

@AWSjswinney Thanks a lot for getting back to this issue!

We've recently moved all prerequisites to the installation guide to avoid a duplication and make intro guide clearer: #3378.

Also, this important note about libomp should be in the CLI version installation guide, not only in the Python one. I'll prepare a new PR today and ask you to review with the aim to not waste your time cleaning our docs.

Also, if I find the the time, I may test and submit a pull request myself.
#4484 (comment)

[AWSjswinney]

Closed in favor of #4520

[github-actions]

This pull request has been automatically locked since there has not been any recent activity since it was closed. To start a new related discussion, open a new issue at https://github.com/microsoft/LightGBM/issues including a reference to this.