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GH-38055: [C++] Don't find/use Threads::Threads with ARROW_ENABLE_THREADING=OFF (#38056)

### Rationale for this change

We don't need `Threads::Threads` with `ARROW_ENABLE_THREADING=OFF`.

### What changes are included in this PR?

* Don't run `find_package(Threads)` with `ARROW_ENABLE_THREADING=OFF`
* Report an error for building jemalloc/mimalloc/gRPC/aws-sdk-cpp/google-cloud-cpp/OpenTelemetry with `ARROW_ENABLE_THREADING=OFF`
* Use `target_link_libraries(INTERFACE)` instead of `set_target_properties(INTERFACE_LINK_LIBRARIES)`
  * This is not required. It's just for modernizing CMake codes.

### Are these changes tested?

Yes.

### Are there any user-facing changes?

No.
* Closes: #38055

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