MKL is a specialized (formerly commercial) LAPACK implementation for Intel architectures by Intel itself. It’s hard for an open source project like OpenBLAS to compete with it.
Unfortunately, Julia can’t ship with MKL as explained here. However, apart from MKL.jl, which you are already aware of, you can also build Julia yourself and link it against MKL which is prettry straightforward, especially on Unix systems. You can find instructions here.