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ARROW-6631: [C++] Do not build any compression libraries by default in C++ build

From the look of the diff, I would say that configuring a comprehensive build looks too complicated to me (it's only relevant for developers and packagers, though, so more a maintainability nuisance). Perhaps ARROW-6585 can help with this

Also fixes a unit test that only fails when all compressors are disabled. I needed to add a `Codec::IsAvailable` function to determine whether a codec's support has been built, which seems useful anyway.

Closes #5607 from wesm/ARROW-6631 and squashes the following commits:

19b83ac09 <Wes McKinney> Update docker_integration.sh to not manually disable compression
dbb4b8d70 <Wes McKinney> Review comments
bfb08d63e <Sutou Kouhei> Disable Zstandard on Ubuntu 16.04
01b75e9c3 <Sutou Kouhei> Sort alphabetically
b454874bf <Wes McKinney> Add function to determine if support for codec is available
12100b2a9 <Wes McKinney> Do not build any compression libraries by default in C++ build

Lead-authored-by: Wes McKinney <wesm+git@apache.org>
Co-authored-by: Sutou Kouhei <kou@clear-code.com>
Signed-off-by: Wes McKinney <wesm+git@apache.org>