DOC: Fix docs related to n_jobs

[david-cortes-intel]

Description

This PR fixes an issue in which the docs for classes that are not part of original scikit-learn were not setting the docs for n_jobs correctly and showing warnings about them, due to to three reasons:

• Using internal "glossary" link, which is from original scikit-learn but not present in sklearnex.
• Referencing objects from joblib without linking to them the way scikit-learn does.
• The decorator adding the parameter more than once to the docstrings if the keyword "Attributes" appeared more than once.

Before:

(note that glossary and backend are not clickable)

After:

---

Checklist to comply with before moving PR from draft:

PR completeness and readability

• I have reviewed my changes thoroughly before submitting this pull request.
• I have updated the documentation to reflect the changes or created a separate PR with update and provided its number in the description, if necessary.
• Git commit message contains an appropriate signed-off-by string (see CONTRIBUTING.md for details).
• I have added a respective label(s) to PR if I have a permission for that.
• I have resolved any merge conflicts that might occur with the base branch.

Testing

• I have run it locally and tested the changes extensively.
• All CI jobs are green or I have provided justification why they aren't.

Performance

Not applicable.