[C++] Test, fix, and document debug builds with vcpkg packages

[asfimport]

ARROW-11580 makes it straightforward to use vcpkg for dependencies. This has been well-tested with release builds, but there are some loose ends with debug builds. vcpkg installs debug libraries for the dependencies, but there are some problems linking them when -DCMAKE_BUILD_TYPE=DEBUG. I was able to get a debug build to succeed on Windows with VS 2019 by turning some features off

    -DARROW_FLIGHT=OFF ^
    -DARROW_GANDIVA=OFF ^
    -DARROW_WITH_THRIFT=OFF ^
    -DARROW_PARQUET=OFF ^ 

but there were linking errors when I turned any of those on. I think some of these errors can be resolved by setting additional \*\_MSVC\_\* prefix/suffix variables or by working around limitations of which dependencies vcpkg can and cannot install as dynamic link libraries.

I tested this after installing dynamic link libraries with vcpkg and with -DARROW_DEPENDENCY_USE_SHARED=ON. We should also test debug builds with static dependencies and on Linux and Mac.

Reporter: Ian Cook / @ianmcook

Related issues:

• [C++] Cannot build debug with MSVC and vcpkg (relates to)
• [C++][Doc] Improve Developing on Windows docs (relates to)
• [C++] Add CMake option ARROW_DEPENDENCY_SOURCE=VCPKG (depends upon)

_{Note: This issue was originally created as ARROW-11796. Please see the migration documentation for further details.}

[asfimport]

Ian Cook / @ianmcook:
I was able to turn on ARROW_PARQUET and get it to build by setting

-DThrift_SOURCE=BUNDLED ^
-DBOOST_SOURCE=BUNDLED ^

[asfimport]

Ian Cook / @ianmcook:
See the related conversation at microsoft/vcpkg#17975

[asfimport]

Antoine Pitrou / @pitrou:
cc @kou. This may be the same as ARROW-15415; at least it's closely related :-)

[asfimport]

Todd Farmer / @toddfarmer:
This issue was last updated over 90 days ago, which may be an indication it is no longer being actively worked. To better reflect the current state, the issue is being unassigned per project policy. Please feel free to re-take assignment of the issue if it is being actively worked, or if you plan to start that work soon.