Add optional test building

[robertohueso]

According to CMakeLists.txt

This project has no configurable options---it just installs the headers to the install location, and optionally builds the test program.

but it's not optional at the moment. This PR adds the option in CMake 😄.

[mlpack-bot]

Thanks for opening your first pull request in this repository! Someone will review it when they have a chance. In the mean time, please be sure that you've handled the following things, to make the review process quicker and easier:

• All code should follow the style guide
• Documentation added for any new functionality
• Tests added for any new functionality
• Tests that are added follow the testing guide
• Headers and license information added to the top of any new code files
• HISTORY.md updated if the changes are big or user-facing
• All CI checks should be passing

Thank you again for your contributions! 👍

[rcurtin]

Awesome, thanks for fixing that documentation discrepancy. :)

Do you want to also add a note to HISTORY.md? If not I can handle it during merge. 👍

[robertohueso]

History updated :) I forgot it 😅.

[zoq]

Looks good to me.

[mlpack-bot]

Hello there! Thanks for your contribution. I see that this is your first contribution to mlpack. If you'd like to add your name to the list of contributors in src/mlpack/core.hpp and COPYRIGHT.txt and you haven't already, please feel free to push a change to this PR---or, if it gets merged before you can, feel free to open another PR.

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