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GH-41652: [C++][CMake][Windows] Don't build needless object libraries (#41658)

### Rationale for this change

* We don't need an object library for a shared library with `ARROW_BUILD_SHARED=OFF`.
* We don't need an object library for a static library with `ARROW_BUILD_STATIC=OFF`.

### What changes are included in this PR?

Don't build needless object libraries based on `ARROW_BUILD_SHARED`/`ARROW_BUILD_STATIC`.

### Are these changes tested?

Yes.

### Are there any user-facing changes?

No.
* GitHub Issue: #41652

Authored-by: Sutou Kouhei <kou@clear-code.com>
Signed-off-by: Sutou Kouhei <kou@clear-code.com>