Gratis, but not free. In RMS’ words, free as in free beer, not free as in freedom.
Apart from politics, it is apparently nontrivial to sort out licensing in a way that permits to distribute compiled julia binaries with both MKL and GMP. Microsoft seems to believe that it is legally possible under some circumstances (cf existence of MRAN), and they presumably have competent lawyers who figured this out.
It looks like they are re-licensing MKL as “Microsoft R Services MKL”. I assume this involves a deal between MS and Intel, as legally you enter into a license agreement with MS if using this product (even the MKL part).
I understand the considerations for speed, but I think that using a FOSS library by default for Julia is the right choice. I would be uncomfortable with using a black box (a very nice, well-tested black box, but a black box nevertheless) for research. Especially since if someone really wants to do it, installing & using MKL is always an option.
IMO the discrepancy in naive benchmarks between various languages is an orthogonal issue and should be addressed by user education.
Afaik the main problem is the possibility of running afoul of the GPL when distributing binaries that form a derived work (MRAN, Julia) of GPL code (R, GMP) and unfree code (MKL). I don’t exactly see how a deal between MS and intel helps with that.
IANAL, but it is definitely plausible that this is OK, in the same way that some linux distros dare to ship binaries for zfs; and it is at least not totally implausible that this is problematic, and some distros don’t ship zfs binaries (i.e. require zfs users to compile at home, as currently necessary when using MKL with julia). I’ll assume that whatever MS is doing is legally sound, but can’t guess at what special circumstances are relevant to replicating that feat.