MAINT: Add NO_DIST=1 for CI jobs that don't run distributed mode (#2692)

* set NO_DIST=1 for tests that don't run distributed mode

* remove NO_DIST where it's not used

Author: david-cortes-intel

.ci/pipeline/build-and-test-lnx.yml

@@ -79,6 +79,7 @@ steps:
     env:
       TBBROOT: ${{ variables.TBBROOT }}
       COVERAGE_RCFILE: ${{ variables.COVERAGE_RCFILE }}
+      NO_DIST: 1
     displayName: "Sklearnex testing"
   - script: |
       . /usr/share/miniconda/etc/profile.d/conda.sh

.ci/pipeline/build-and-test-win.yml

@@ -65,6 +65,7 @@ steps:
       COVERAGE_RCFILE: ${{ variables.COVERAGE_RCFILE }}
       DALROOT: ${{ variables.DALROOT }}
       TBBROOT: ${{ variables.TBBROOT }}
+      NO_DIST: 1
   - script: |
       call activate CB
       if defined DALROOT call "%DALROOT%\env\vars.bat"