fix code generator tests failure (#5520)

* Added fixes for official builds

* Make .sh files executable

* fix mkl nuget issue

* fix code generate test fails

* only add necessary dependency

Co-authored-by: Mustafa Bal <[email protected]>

Author: frank-dong-ms-zz

test/Microsoft.ML.CodeGenerator.Tests/Microsoft.ML.CodeGenerator.Tests.csproj

@@ -17,4 +17,9 @@
     </None>
   </ItemGroup>
 
+  <ItemGroup>
+    <NativeAssemblyReference Include="MklImports" />
+    <NativeAssemblyReference Condition="'$(OS)' == 'Windows_NT'" Include="libiomp5md" />
+  </ItemGroup>
+
 </Project>