Thanks for the ping @AlphaBetaGamma96.
The issue is tracked here and might come from an MKL update on Windows:
Aaaand I found the solution. The MKL package, when installed in user context, installs the libraries that shm.dll is linked to into %APPDATA%\Python\Library\Bin - which per default isn’t in the PATH env var. Adding that path to the PATH env var allows for the DLL loader to actually find the MKL dlls
The topic also suggests workarounds @orionflame.