[C++] Fix spurious warning caused by passing dl to add_dependencies

[asfimport]

There is a potentially confusing warning from arrow/io on Linux:

-- Configuring done
CMake Warning (dev) at cmake_modules/BuildUtils.cmake:98 (add_dependencies):
  Policy CMP0046 is not set: Error on non-existent dependency in
  add_dependencies.  Run "cmake --help-policy CMP0046" for policy details.
  Use the cmake_policy command to set the policy and suppress this warning.

  The dependency target "dl" of target "arrow_io_objlib" does not exist.
Call Stack (most recent call first):
  src/arrow/io/CMakeLists.txt:85 (ADD_ARROW_LIB)
This warning is for project developers.  Use -Wno-dev to suppress it.

-- Generating done
-- Build files have been written to: /home/wesm/code/arrow/cpp/test-build

I believe you may need to link to libdl on OS X

Reporter: Wes McKinney / @wesm
Assignee: Wes McKinney / @wesm

Related issues:

• Arrow 0.3 release (blocks)

_{Note: This issue was originally created as ARROW-747. Please see the migration documentation for further details.}

[asfimport]

Wes McKinney / @wesm:
Apparently CMake has a special variable for this purpose:

https://cmake.org/cmake/help/v3.0/variable/CMAKE_DL_LIBS.html

So we do need to link for dlopen/dlsym, but the way we are doing it is wrong.

[asfimport]

Wes McKinney / @wesm:
PR: #472

[asfimport]

Uwe Korn / @xhochy:
Issue resolved by pull request 472
#472