Yes, of course - a language extension can often give you better ergonomics than a library interface, both in implementing the code and in diagnostics reporting. The downside is that it's more effort to implement a language extension, it's more difficult to evolve it, and it restricts user's choice of implementation to those that have implemented the extension. For example, Microsoft Visual C++ supports only OpenMP 2.0, from 2002.

An interesting question in this context would be, is there anything preventing adding an OpenMP extension to Rust?