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GH-41190: [C++] support for single threaded joins (#41125)

When I initially added single threading support, I didn't do asof joins and sorted merge joins, because the code for these operations uses threads internally. This is a small check-in to add support for them. Tests run okay in single-threaded, I'm pushing it here to run full tests and check I didn't break the threaded case.

I'm pushing this now because making this work saves adding a load of threading checks in python (this currently breaks single-threaded python i.e. emscripten).
* GitHub Issue: #41190

Lead-authored-by: Joe Marshall <joe.marshall@nottingham.ac.uk>
Co-authored-by: Rossi Sun <zanmato1984@gmail.com>
Signed-off-by: Weston Pace <weston.pace@gmail.com>