[C++] Migrate existing usage of ThreadIndexer to ThreadLocalState and get rid of ThreadIndexer

[asfimport]

ARROW-16178 introduces a better way of doing thread indexing. Once ARROW-15732 is resolved then we can get rid of the old way and migrate to the new approach.

Reporter: Weston Pace / @westonpace

Related issues:

• [C++] Do not use any CPU threads in execution plan when use_threads is false (is blocked by)

_{Note: This issue was originally created as ARROW-16179. Please see the migration documentation for further details.}