ARROW-16156: [R] Clarify warning message for features not turned on in .onAttach()

[paleolimbot]

After ARROW-15818 (#12564) we get an extra message on package load because "engine" was added to arrow_info()$capabilities and few if any users will have this turned on for at least the next release:

library(arrow)
#> See arrow_info() for available features

This PR adds "engine" to the list of features we don't message users about and clarifies the message so that it's more clear why it's being shown:

library(arrow)
#> Some features of Arrow C++ are turned off. Run `arrow_info()` for more information.

[github-actions]

https://issues.apache.org/jira/browse/ARROW-16156

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[jonkeane]

Looks good, a small stylistic change on the error message that you can take or leave.

[paleolimbot]

I like it!

[ursabot]

Benchmark runs are scheduled for baseline = 58fe60f and contender = 961ec77. 961ec77 is a master commit associated with this PR. Results will be available as each benchmark for each run completes.
Conbench compare runs links:
[Finished ⬇️0.0% ⬆️0.0%] ec2-t3-xlarge-us-east-2
[Finished ⬇️0.17% ⬆️0.04%] test-mac-arm
[Failed ⬇️0.71% ⬆️0.0%] ursa-i9-9960x
[Finished ⬇️0.17% ⬆️0.0%] ursa-thinkcentre-m75q
Buildkite builds:
[Finished] <https://buildkite.com/apache-arrow/arrow-bci-benchmark-on-ec2-t3-xlarge-us-east-2/builds/482| 961ec771 ec2-t3-xlarge-us-east-2>
[Finished] <https://buildkite.com/apache-arrow/arrow-bci-benchmark-on-test-mac-arm/builds/467| 961ec771 test-mac-arm>
[Failed] <https://buildkite.com/apache-arrow/arrow-bci-benchmark-on-ursa-i9-9960x/builds/468| 961ec771 ursa-i9-9960x>
[Finished] <https://buildkite.com/apache-arrow/arrow-bci-benchmark-on-ursa-thinkcentre-m75q/builds/477| 961ec771 ursa-thinkcentre-m75q>
[Finished] <https://buildkite.com/apache-arrow/arrow-bci-benchmark-on-ec2-t3-xlarge-us-east-2/builds/481| 58fe60f5 ec2-t3-xlarge-us-east-2>
[Finished] <https://buildkite.com/apache-arrow/arrow-bci-benchmark-on-test-mac-arm/builds/466| 58fe60f5 test-mac-arm>
[Finished] <https://buildkite.com/apache-arrow/arrow-bci-benchmark-on-ursa-i9-9960x/builds/467| 58fe60f5 ursa-i9-9960x>
[Finished] <https://buildkite.com/apache-arrow/arrow-bci-benchmark-on-ursa-thinkcentre-m75q/builds/476| 58fe60f5 ursa-thinkcentre-m75q>
Supported benchmarks:
ec2-t3-xlarge-us-east-2: Supported benchmark langs: Python, R. Runs only benchmarks with cloud = True
test-mac-arm: Supported benchmark langs: C++, Python, R
ursa-i9-9960x: Supported benchmark langs: Python, R, JavaScript
ursa-thinkcentre-m75q: Supported benchmark langs: C++, Java