Which CPU are you using?
I wasn’t able to reproduce the issue on an Intel(R) Xeon(R) CPU E5-2698 v4 @ 2.20GHz using a source build, the 1.10.1 pip wheels, as well as the nightly pip wheel from today.
EDIT: In any case, would you mind creating an issue on GitHub 1 so that the MKL devs are aware of this issue and might be able to reproduce it, please?