Doing "import sklearn" resulted in breakage at runtime due to sklearn
0.20.3 not being compatible with python 3.8.
In addition:
- add WANTLIB
- rework the DEPs for the new version
- remove SKLEARN_NO_OPENMP which was dropped in commit 9876f748
Breakage initially reported by James Cook (who provided many pointers on
moving forward) and also tested the update.
f49cc8e774