[SPARK-3226][MLLIB] doc update for native libraries

to mention `-Pnetlib-lgpl` option. atalwalkar

Author: Xiangrui Meng <meng@databricks.com>

Closes #2128 from mengxr/mllib-native and squashes the following commits:

4cbba57 [Xiangrui Meng] update mllib dependencies

(cherry picked from commit adbd5c1636669fc474ab02b54cd1ced353f68712)
Signed-off-by: Xiangrui Meng <meng@databricks.com>