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GH-39588: [CI][Go] Add CGO_ENABLED=1 to cdata_integration build to fix macOS build with conda (#39589)

### Rationale for this change

CI job has been failing since we added integration tests.

### What changes are included in this PR?

Add `CGO_ENABLED=1` to go build cdata_integration on the verification script.

### Are these changes tested?

Yes via archery.

### Are there any user-facing changes?

No
* Closes: #39588

Authored-by: Raúl Cumplido <raulcumplido@gmail.com>
Signed-off-by: Raúl Cumplido <raulcumplido@gmail.com>