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GH-38852: [C++] Replace "#ifdef ARROW_WITH_GZIP" in dataset test to ARROW_WITH_ZLIB (#38853)



### Rationale for this change

We don't define `ARROW_WITH_GZIP` macro when we can use gzip. We use `ARROW_WITH_ZLIB` instead. So `ARROW_WITH_ZLIB` is always not defined.

### What changes are included in this PR?

change `ARROW_WITH_GZIP` to `ARROW_WITH_ZLIB`

### Are these changes tested?

previously not tested, but now there're

### Are there any user-facing changes?

no

* Closes: #38852

Authored-by: mwish <maplewish117@gmail.com>
Signed-off-by: Sutou Kouhei <kou@clear-code.com>