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ARROW-7181: [C++] Fix an Arrow module search bug with pkg-config

If an Arrow module has only shared library and pkg-config is used to
find the module, FindArrow.cmake can't find directory that has the
shared library.

Closes #5850 from kou/cpp-find-arrow-set-missing-variable-pkg-config and squashes the following commits:

6d461ba4d <Sutou Kouhei>  Fix an Arrow module search bug with pkg-config

Authored-by: Sutou Kouhei <kou@clear-code.com>
Signed-off-by: Neal Richardson <neal.p.richardson@gmail.com>