[C++][Python] Remove deprecated functions in 21.0.0

[AlenkaF]

Describe the enhancement requested

This is a follow-up issue on the removal of deprecated APIs in 20.0.0.

Still needs a sub-issue

• [C++] Leftover from ARROW-15732: [C++] Do not use any CPU threads in execution plan when use_threads is false #15104 (Deprecated in 11.0.0)
  owned_thread_pool_

Flight UCX has been removed in #43296

Component(s)

C++, Python

[raulcd]

Flight UCX was removed here (for 20.0.0):

• [FlightRPC][C++] Remove Flight over UCX #43296

[AlenkaF]

Thank you for the heads-up @raulcd ! I guess it was still present when I was going through the codebase 3 weeks ago :) Will remove it from the list.