arrow

GH-37373: [CI] Make integration build a bit leaner (#37366)

### Rationale for this change

Some CI builds on GitHub Actions occasionally fail for disk space issues. The conda-integration build is one of them:
https://github.com/apache/arrow/actions/runs/5966046880/attempts/2?pr=37341

### What changes are included in this PR?

1. Disable more C++ components in the integration build.
2. Remove intermediate build artifacts at the end of a C++ CI build (object files).
3. Remove intermediate build directories at the end of a Rust CI build.

### Are these changes tested?

Self-tested by definition.

### Are there any user-facing changes?

No.

* Closes: #37373

Authored-by: Antoine Pitrou <antoine@python.org>
Signed-off-by: Antoine Pitrou <antoine@python.org>