Evaluate multi-threading `LogisticRegression`

When https://github.com/scikit-learn/scikit-learn/pull/32073 is merged, `n_jobs` will have no effect in `LogisticRegression` so should be deprecated.

It's also a good time to consider enabling multi-threading to compute the logistic regression path here https://github.com/scikit-learn/scikit-learn/blob/21e0df780772e9567b09249a05a42dfde6de465d/sklearn/linear_model/_logistic.py#L1373-L1388

So far it was disabled because parallelism was happening at a higher level using joblib. Now we should benchmark the impact of enabling multi-threading to see if it's positive for all the solvers and a wide range of problems.
Like for other estimators using OpenMP-based multi-threading, the number of thread should not be controlled by `n_jobs` but instead use all available core (`n_threads = _openmp_effective_n_threads()`).

COMMENT:
Here are the same plots as in my previous comment, but this time in term of speed-up (i.e. median time with `n_threads=1` divided by the median time with `n_threads=_openmp_effective_n_threads()`).

<details><summary>lbfgs plots</summary>

![Image](https://github.com/user-attachments/assets/13feff7c-f366-4c1a-ac58-ac23691dd923)
![Image](https://github.com/user-attachments/assets/7b6bc73f-9742-4486-a298-dd51c73d440e)
![Image](https://github.com/user-attachments/assets/5f465b9b-a747-4369-94da-0bb83a7d03f9)
![Image](https://github.com/user-attachments/assets/248ffd90-4b75-4eda-a931-77b3e67e5bc0)
![Image](https://github.com/user-attachments/assets/050bbe37-b9e8-4257-abb4-aad37553e75c)
![Image](https://github.com/user-attachments/assets/bf403380-f677-42bf-9d96-7678264cbd23)
![Image](https://github.com/user-attachments/assets/1a9a615e-853b-41b8-b4ec-800f448a0219)
![Image](https://github.com/user-attachments/assets/1fec3430-27b4-4542-9be4-8f1d5c39fb36)
![Image](https://github.com/user-attachments/assets/e1c5e8cd-f62b-43ad-aa60-385140341f45)
![Image](https://github.com/user-attachments/assets/a6813f37-7ec1-4b28-b29f-a849412b719b)
![Image](https://github.com/user-attachments/assets/826b9a81-7aaa-48f3-870c-2d91403ec746)
![Image](https://github.com/user-attachments/assets/83bec47b-ef6d-488f-b60a-a3bfe1ef7777)

![Image](https://github.com/user-attachments/assets/3ba4511f-1c98-407b-a0c7-edb51eb12de1)
![Image](https://github.com/user-attachments/assets/cbf9d384-17c5-483d-b7c2-ba9dbfc7d311)
![Image](https://github.com/user-attachments/assets/82d0a865-5012-4a50-a251-987207621bf1)
![Image](https://github.com/user-attachments/assets/3f4aa5cf-ae21-4ca4-b540-33d549ac4c8a)
![Image](https://github.com/user-attachments/assets/971a8596-a896-49fb-96c6-4baa6161c153)
![Image](https://github.com/user-attachments/assets/228cc92b-d6a6-4bc8-ac1f-5db927c82af0)

![Image](https://github.com/user-attachments/assets/d5976cc4-4adc-46ef-81f1-0386fd1c63e5)
![Image](https://github.com/user-attachments/assets/4245839c-2d7a-4436-a7b4-95f244842430)
![Image](https://github.com/user-attachments/assets/f5a3dbd3-da3f-4f31-9774-812f711934b9)
![Image](https://github.com/user-attachments/assets/43674b04-3512-4dee-909f-1163b65d89a8)
![Image](https://github.com/user-attachments/assets/c2944390-0c02-472a-9f84-dfffb0423b12)
![Image](https://github.com/user-attachments/assets/1eb039fb-1f49-47a2-88b2-5d896ff5698c)

</details>

<details><summary>newton-cg plots</summary>

![Image](https://github.com/user-attachments/assets/05634423-7e23-4b7f-9200-28d0eddbef75)
![Image](https://github.com/user-attachments/assets/7ed121ef-b4d9-42ad-becf-d5ee5e926066)
![Image](https://github.com/user-attachments/assets/cab97e7a-c541-4dc3-a0ae-bfc6aa6f354c)
![Image](https://github.com/user-attachments/assets/0071d36d-44cb-4e18-8eef-482797c4a0cd)
![Image](https://github.com/user-attachments/assets/30324c7d-f289-477d-acd9-b3b3589c83a1)
![Image](https://github.com/user-attachments/assets/ba9df6a4-a84a-4b7a-ba01-a7193cbaa612)
![Image](https://github.com/user-attachments/assets/06aa8dd1-08c0-4212-b3f4-a39454df8b26)
![Image](https://github.com/user-attachments/assets/1c17dfd1-db10-47f3-bf52-7a0c6204cc1d)
![Image](https://github.com/user-attachments/assets/5b881e09-e9d6-4e2d-9171-5b9be7f5ae74)
![Image](https://github.com/user-attachments/assets/097a658c-9eb8-405b-9758-15e11b7f83da)
![Image](https://github.com/user-attachments/assets/ff301366-18bc-4d60-82de-1e6bf3171f82)
![Image](https://github.com/user-attachments/assets/b104b872-1c2f-4555-b3c4-7b290785c1d4)

![Image](https://github.com/user-attachments/assets/4f5b9bc3-6861-4556-b492-7ace68740352)
![Image](https://github.com/user-attachments/assets/72346742-505c-4d07-8fdf-4356522a8ae4)
![Image](https://github.com/user-attachments/assets/e9bfb056-a365-4f4e-8c74-967ca3556730)
![Image](https://github.com/user-attachments/assets/7dfd6f74-5b32-4a7f-87e0-3bd6413da4e5)
![Image](https://github.com/user-attachments/assets/f1dc90c8-7e76-47a9-9806-2a7b881884f2)
![Image](https://github.com/user-attachments/assets/2a88c1b2-e457-4891-bab0-d2d6167e96f2)

![Image](https://github.com/user-attachments/assets/7ba50cc6-4729-4db8-8242-887dd78101c9)
![Image](https://github.com/user-attachments/assets/303bef9b-cc1c-41cc-b50a-6ff33c3aa3dc)
![Image](https://github.com/user-attachments/assets/be88f504-ff80-49e5-be38-ca4c0ca9d2a9)
![Image](https://github.com/user-attachments/assets/dc2466d9-8284-4a62-918f-7c10acdf10c9)
![Image](https://github.com/user-attachments/assets/a2005281-10f0-4dcc-9c79-d8982ebcb3d1)
![Image](https://github.com/user-attachments/assets/98b4a5ce-1d34-4d47-93a9-928931fdc9b0)

</details>

<details><summary>newton-cholesky plots</summary>

![Image](https://github.com/user-attachments/assets/eaf5be84-d183-455c-8d25-1edb41d5e1d5)
![Image](https://github.com/user-attachments/assets/c951aead-9155-4edf-955c-a0207e583824)
![Image](https://github.com/user-attachments/assets/607e3bc7-342d-450d-825d-48624f61b215)
![Image](https://github.com/user-attachments/assets/82765dfd-d722-403f-99f4-c095e659a219)
![Image](https://github.com/user-attachments/assets/165d6102-3477-4343-bd22-a593bba4e5c9)
![Image](https://github.com/user-attachments/assets/de23a7c2-d779-433a-98ea-2cca6abe1d23)
![Image](https://github.com/user-attachments/assets/9d9285f7-26a3-4925-8573-f961e63ca1f1)

![Image](https://github.com/user-attachments/assets/c39f8853-8a85-40bf-8364-49126e386f03)
![Image](https://github.com/user-attachments/assets/24718868-5981-48d8-80ef-3281c3b09355)
![Image](https://github.com/user-attachments/assets/f2f11aae-e8a9-4e5d-94bf-a71bf6adc487)
![Image](https://github.com/user-attachments/assets/320a7140-becd-4451-9e3b-23aebd551674)

![Image](https://github.com/user-attachments/assets/717fdec7-95bd-4166-9def-b07fe9bf7e1b)
![Image](https://github.com/user-attachments/assets/f682b0cf-1785-4c31-b218-c5e4b4820b6c)
![Image](https://github.com/user-attachments/assets/93987f7d-37b8-42b2-99b5-d27439a428a3)
![Image](https://github.com/user-attachments/assets/5afe65ca-d9f4-416e-8899-1db2beb892a8)

</details>

EDIT : added plots for 1e5 samples

Labels: API, help wanted, Needs Benchmarks