Use `PyEval_InitThreads()` as intended (#4350)

* Use `PyEval_InitThreads()` as intended (actually matters only for Python 3.6).

* Add `if defined(WITH_THREAD)` condition.

https://docs.python.org/3.6/c-api/init.html#c.PyEval_InitThreads

> This function is not available when thread support is disabled at compile time.

* Fix oversight pointed out by @EricCousineau-TRI: Remove condition that is always false.