[MNT] Add joblib backend option and set default to all parallelized estimators

[baraline]

Describe the issue

Some of the estimators that use joblib for parallelization use process-based backend, while other use threads-based backend. Ideally, we want this to be a parameter tunable by the users.

Suggest a potential alternative/fix

Including a joblib_backend parameter which would default to threading (from discussions with Matthew), and use this parameter to set the joblib backend parameter during Parallel calls would fix the issue.