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GH-36819: [R] Use RunWithCapturedR for reading Parquet files (#37274)

### Rationale for this change

When we first added RunWithCapturedR to support reading files from R connections, none of the Parquet tests seemed to call R from another thread. Because RunWithCapturedR comes with some complexity, I didn't add it anywhere it wasn't strictly needed. A recent StackOverflow post exposed that reading very large parquet files do use multiple threads and thus need RunWithCapturedR.

### What changes are included in this PR?

The two most common calls to read a parquet in which a user might trigger this failure are now wrapped in RunWithCapturedR.

### Are these changes tested?

The changes are tested in the current suite.

### Are there any user-facing changes?

No.
* Closes: #36819

Lead-authored-by: Dewey Dunnington <dewey@voltrondata.com>
Co-authored-by: Dewey Dunnington <dewey@fishandwhistle.net>
Signed-off-by: Dewey Dunnington <dewey@voltrondata.com>