arrow

GH-29847: [C++] Build with Azure SDK for C++ (#36835)

### Rationale for this change
We want to use the Azure SDK for C++ to read/write to Azure blob storage. Obviously this is pretty important for building an `AzureFileSystem`. 

### What changes are included in this PR?
Builds the the relevant parts of the azure SDK as a cmake external project. Adds a couple of simple tests that just assert that the Azure SDK is working and a couple of lines in `AzureFileSystem` to initialise the blob storage client to ensure the build is working correctly in all environments.

I started with the build setup from https://github.com/apache/arrow/pull/12914 but I did make few changes.

1. Although its atypical for this project we chose to switch from cmake's `ExternalProject` to `FetchContent`. `FetchContent` is recomended by the Azure docs https://github.com/Azure/azure-sdk-for-cpp#cmake-project--fetch-content. It also solves a few problems including: automatically linking system curl and ssl instead of bootstrapping vcpkg and installing curl and ssl from there. 
2. Only build one version of the Azure SDK for C++ because it contains all the components. Previously we were unnecessarily building 5 different versions of the whole thing on top of each other. This created race conditions for which version each component came from.
3. We are using `azure-core_1.10.2` which is a very recent version. There are a couple of important reasons for this 1.  [an important managed identity fix](https://github.com/Azure/azure-sdk-for-cpp/issues/4723), 2. [fixed support for curl versions < 7.71.0](https://github.com/Azure/azure-sdk-for-cpp/issues/4792).

There will be follow up PRs to enable Azure in the manylinux builds. We need to update `vcpkg` first so we can get a version of the Azure SDK which contains [an important managed identity fix](https://github.com/Azure/azure-sdk-for-cpp/issues/4723).

### Are these changes tested?
Yes. There is a simple test that just runs the Azure client against azurite. Additionally just initialising the client in `AzureFileSystem` goes a long way towards ensuring the build is working. 

### Are there any user-facing changes?
No
* Closes: #29847

Lead-authored-by: Thomas Newton <thomas.w.newton@gmail.com>
Co-authored-by: Sutou Kouhei <kou@cozmixng.org>
Co-authored-by: Sutou Kouhei <kou@clear-code.com>
Co-authored-by: Antoine Pitrou <pitrou@free.fr>
Co-authored-by: shefali singh <shefalisingh@microsoft.com>
Signed-off-by: Sutou Kouhei <kou@clear-code.com>