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GH-39352: [FS][Azure] Enable azure in builds (#39971)



### Rationale for this change

### What changes are included in this PR?
Enable Azure in linux and mac os wheel builds. Tried to copy GCS

Don't enable Azure for windows builds because windows builds where all failing. Failures were a combination of cmake version or `Could not find a package configuration file provided by "wil"`. I think it makes sense to come back to windows builds in another PR.  

### Are these changes tested?
There is no new functionality to test. 

### Are there any user-facing changes?
No

* Closes: #39352

Authored-by: Thomas Newton <thomas.w.newton@gmail.com>
Signed-off-by: Sutou Kouhei <kou@clear-code.com>