Define S_THREAD_LOCAL when undefined.

Also defines S_NO_THREAD_LOCAL to indicate a lack of a meaningful
S_THREAD_LOCAL.
Add S_NO_THREAD_LOCAL check.

If defined and S_THREAD_LOCAL hasn't been defined already, define
S_THREAD_LOCAL as nothing (forces TLS off).
Remove message for predefined S_NO_THREAD_LOCAL.
Reword warning about S_THREAD_LOCAL not having a definition.

Try to make it clear that it needs to either be user-defined or
S_NO_THREAD_LOCAL must be defined to make it explicitly known that
there is no TLS support.
Adjust comment placement.