Report error when ATEN_THEADING is OMP and USE_OPENMP is turned off. (#40146)

Summary:
Currently, even if USE_OPENMP is turned off, ATEN_THEADING can still use OpenMP. This commit fixes it.
Pull Request resolved: https://github.com/pytorch/pytorch/pull/40146

Reviewed By: ezyang

Differential Revision: D22208758

Pulled By: pbelevich

fbshipit-source-id: 0866c9bb9b3b5b99d586aed176eb0fbe177efa4a
diff --git a/caffe2/CMakeLists.txt b/caffe2/CMakeLists.txt
index 584d56e..57148df 100644
--- a/caffe2/CMakeLists.txt
+++ b/caffe2/CMakeLists.txt
@@ -22,12 +22,15 @@
 
 message(STATUS "Using ATen parallel backend: ${ATEN_THREADING}")
 if("${ATEN_THREADING}" STREQUAL "OMP")
+  if(NOT USE_OPENMP)
+    message(FATAL_ERROR "ATen is using OpenMP backend but USE_OPENMP is off. Please either change ATEN_THREADING or turn on USE_OPENMP.")
+  endif()
   set(AT_PARALLEL_OPENMP 1)
 elseif("${ATEN_THREADING}" STREQUAL "NATIVE")
   set(AT_PARALLEL_NATIVE 1)
 elseif("${ATEN_THREADING}" STREQUAL "TBB")
   if(NOT USE_TBB)
-    message(FATAL_ERROR "Using TBB backend but USE_TBB is off")
+    message(FATAL_ERROR "ATen is using TBB backend but USE_TBB is off. Please either change ATEN_THREADING or turn on USE_TBB.")
   endif()
   set(AT_PARALLEL_NATIVE_TBB 1)
 else()