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ARROW-6353: [Python] [C++] Expose compression_level option to parquet.write_table

The patch exposes the option to change the default and/or per-column
compression level when creating a parquet file. No validation is done
on the input since the compression level is codec and version specific.

Also includes

ARROW-6216: [C++] Check for compression_level support in Codec. The codec options UNCOMPRESSED, LZ4, LZ0 and SNAPPY do not support specifying a compression level. This patch adds a check for whether the user has specified a level and returns an error if so. This is a measure to avoid confusion when a user is experimenting with the API. Furthermore, Zlib can fail initialization if an invalid compression level is provided. The code is modified to attempt initialization when the Codec is created, instead of doing it on demand.

Closes #5446 from martinradev/expose-compression-level and squashes the following commits:

3a8f7e7cb <Martin Radev> ARROW-6353:  Expose compression_level option to parquet.write_table
d21215a78 <Martin Radev> ARROW-6216:  Check for compression_level support in Codec

Authored-by: Martin Radev <martin.b.radev@gmail.com>
Signed-off-by: Wes McKinney <wesm+git@apache.org>