Improve warnings and messages behavior

[avehtari]

• Go through all warnings and messages in cmdstanr code
• Make it easier to suppress warnings and messages with options
• Avoid printing "Warning: " when actually using message()
• Add here a list of all issues which refer to warnings and messages
  • [Bug/Inconsistency] Please Convert Warning 'Messages' to Warnings #1039
  • Using num_threads without STAN_THREADS should give warning #896
  • FR: argument to enable redirection of stdout &| stderr to file #862
• Check which warnings and messages come from posterior

[jgabry]

Yes, good idea!