arrow

GH-37510: [C++] Don't install bundled Azure SDK for C++ (#38176)

### Rationale for this change

It's an internal bundled library. We should not install it as a part of Arrow.

### What changes are included in this PR?

Exclude all Azure SDK for C++ jobs including install jobs aren't executed by default. Building jobs are executed because they are required to build Arrow.

### Are these changes tested?

Yes.

### Are there any user-facing changes?

Yes.
* Closes: #37510

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