[Docs] Remove Conan from documentation

[hjabird]

Description

• Support for Conan has been dropped in oneMKL. See Should Conan package manager support be dropped from this oneMKL Interfaces project? #267.
• This PR:
  • Removes Conan from the documentation.
  • Removes Conan scripts.

This is one of the suggested changes in #459.

Checklist

All Submissions

• [ N/A] Do all unit tests pass locally? Attach a log.
  • I have confirmed that it is still possible to build the project and that the CMake has not been broken. I have not tested the C++ code since no changes have been made.
• [ N/A] Have you formatted the code using clang-format?

[hjabird]

Pinging @mkrainiuk @mmeterel @vmalia since I think you're best placed to know what we want here.

[mkrainiuk]

Thanks for the changes! Looks good to me. I believe we can also close the discussion about Conan after this change, what do you think @vmalia?

[hjabird]

I'll merge this tomorrow if there are no further comments (@vmalia?).