Using `num_threads` without `STAN_THREADS` should give warning

[andrjohns]

First flagged in #888, if a user specifies num_threads without adding STAN_THREADS to the compilation args, then it is silently ignored.

This should give a warning or message

[wpetry]

Subsequently flagged by another user on the Stan forum: https://discourse.mc-stan.org/t/parallelising-multipathfinder-runs/