arrow

MINOR: [C++][Parquet] Fix GzipMembers tests when built w/o zlib (#39002)

### Rationale for this change

[----------] 1 test from TestGzipMembersRead
[ RUN      ] TestGzipMembersRead.TwoConcatenatedMembers
unknown file: Failure
C++ exception with description "NotImplemented: Support for codec 'gzip' not built" thrown in the test body.
[  FAILED  ] TestGzipMembersRead.TwoConcatenatedMembers (0 ms)
[----------] 1 test from TestGzipMembersRead (0 ms total)

[----------] 1 test from CodecTest
[ RUN      ] CodecTest.CodecRoundtripGzipMembers
/Users/gangwu/Projects/arrow/cpp/src/arrow/util/compression_test.cc:373: Failure
Failed
'_error_or_value43.status()' failed with NotImplemented: Support for codec 'gzip' not built
[  FAILED  ] CodecTest.CodecRoundtripGzipMembers (0 ms)
[----------] 1 test from CodecTest (0 ms total)

### What changes are included in this PR?

Skip failed tests with zlib is not built.

### Are these changes tested?

Yes.

### Are there any user-facing changes?

No.

Authored-by: Gang Wu <ustcwg@gmail.com>
Signed-off-by: mwish <maplewish117@gmail.com>