[R-package] Remove non-beneficial parallelization #6747

Job	Run time
Python - oldest supported versions (ubuntu-latest)	3m 26s
regular (macOS-latest, Python 3.9)	17m 27s
sdist (macOS-latest, Python 3.10)	12m 29s
bdist (macOS-latest, Python 3.7)	13m 36s
if-else (macOS-latest, Python 3.9)	4m 31s
mpi source (macOS-latest, Python 3.10)	13m 58s
mpi pip (macOS-latest, Python 3.11)	16m 4s
mpi wheel (macOS-latest, Python 3.8)	14m 1s
all-python-package-jobs-successful	2s
	1h 35m 34s

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