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GH-35206: [C++] Look for Conda OpenSSL in Windows verification (#35225)



### Rationale for this change

### What changes are included in this PR?

### Are these changes tested?

### Are there any user-facing changes?

* Closes: #35206

Lead-authored-by: David Li <li.davidm96@gmail.com>
Co-authored-by: Sutou Kouhei <kou@cozmixng.org>
Signed-off-by: Raúl Cumplido <raulcumplido@gmail.com>