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ARROW-6568: [C++] ChunkedArray constructor needs type when chunks is empty

I'll port the repro script to C++ as a unit test unless reviewers don't think it's necessary.

There are a few other locations where the same error could arise which I'm planning to fix as well:
- [ChunkedArray::Flatten](https://github.com/apache/arrow/blob/c2762a6/cpp/src/arrow/table.cc#L176)
- [BinaryRecordReader::GetBuilderChunks](https://github.com/apache/arrow/blob/c2762a6/cpp/src/parquet/column_reader.h#L285) could probably just return a chunked array
- Similarly, [SeqBuilder::GetResult](https://github.com/apache/arrow/blob/c2762a660159c770dca9c3d51096367e30824cf7/cpp/src/arrow/python/python_to_arrow.cc#L97)
- arrow_to_pandas::[ConvertListsLike](https://github.com/apache/arrow/blob/c2762a660159c770dca9c3d51096367e30824cf7/cpp/src/arrow/python/arrow_to_pandas.cc#L559)

Closes #5393 from bkietz/6568-PythonParquet-pyarrow-par and squashes the following commits:

985e553b5 <Benjamin Kietzman> Generate zero chunks in test
2411c31a7 <Benjamin Kietzman> add type argument to ChunkedArray construction
cc0f6e5a1 <Benjamin Kietzman> explicit cast for msvc
1c6ad1169 <Benjamin Kietzman> add tests for empty columns to pandas conversion and parquet
42f6b0ad3 <Benjamin Kietzman> ARROW-6568:  Pass type argument to ChunkedArray constructor when chunks may be empty

Authored-by: Benjamin Kietzman <bengilgit@gmail.com>
Signed-off-by: Benjamin Kietzman <bengilgit@gmail.com>