[cmake, docs] msys: allow bundled FFmpeg, update dep/caveat docs, faster linking on Release mode (#2921)

Signed-off-by: crueter <crueter@eden-emu.dev>
Reviewed-on: https://git.eden-emu.dev/eden-emu/eden/pulls/2921
Reviewed-by: Caio Oliveira <caiooliveirafarias0@gmail.com>
Reviewed-by: Lizzie <lizzie@eden-emu.dev>

src/common/thread.cpp

@@ -109,7 +109,7 @@ void SetCurrentThreadName(const char* name) {
         buf[len] = '\0';
         pthread_setname_np(pthread_self(), buf);
     }
-#elif !defined(_WIN32) || defined(_MSC_VER)
+#elif defined(_WIN32)
     // mingw stub
     (void)name;
 #else