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GH-42134: [C++][FS][Azure] Validate AzureOptions::{blob,dfs}_storage_scheme (#42135)

### Rationale for this change

This is for showing user-friendly error message for invalid `{blob,dfs}_storage_scheme`.

### What changes are included in this PR?

Validate `{blob,dfs}_storage_scheme` before we use them in `Make{Blob,DataLake}ServiceClient()`.

### Are these changes tested?

Yes.

### Are there any user-facing changes?

Yes.
* GitHub Issue: #42134

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