[Python] Investigate test_read_multiple_files TODO #39338
Description
Describe the bug, including details regarding any error messages, version, and platform.
When removing ParquetDatased legacy code path a test from python/pyarrow/tests/parquet/test_dataset.py had to be updated and there was a TODO connected to the "Dataset API skipping bad files" we kept as a comment, see comment. This todo should be looked into and a test for it should be added as a follow up to #39112.
Component(s)
Python