ARROW-4831: [C++] CMAKE_AR is not passed to ZSTD thirdparty dependency

[kszucs]

Test it via docker.

1. Start an interactive shell in the conda container:

docker run -it --rm -v /local/path/to/arrow:/arrow ursalab/amd64-ubuntu-18.04-conda-python-3.6:worker bash

2. Execute the following build from /arrow withing the container:

export ARROW_BUILD_TYPE=debug
export ARROW_BUILD_TOOLCHAIN=$CONDA_PREFIX
export ARROW_HOME=$CONDA_PREFIX
export PARQUET_HOME=$CONDA_PREFIX
export PYARROW_CMAKE_GENERATOR=Ninja

mkdir -p cpp/build
pushd cpp/build

cmake -GNinja \
      -DCMAKE_BUILD_TYPE=$ARROW_BUILD_TYPE \
      -DCMAKE_INSTALL_PREFIX=$ARROW_HOME \
      -DARROW_PYTHON=ON \
      -DCMAKE_AR=${AR} \
      -DCMAKE_RANLIB=${RANLIB} \
      ..
ninja
ninja install

popd

pushd python

python setup.py build_ext --inplace --build-type=$ARROW_BUILD_TYPE
py.test -sv pyarrow

popd

[kszucs]

@wesm please review, I'd need it to fix the conda buildbot builds voltrondata-labs/ursabot#13

[xhochy]

+1, LGTM

[wesm]

+1. I guess this might cause a rebase artifact

[xhochy]

@kszucs @wesm This broke master on Windows: https://ci.appveyor.com/project/ApacheSoftwareFoundation/arrow/builds/23063072/job/bd0gom16atlkddtx

[xhochy]

Opened https://issues.apache.org/jira/browse/ARROW-4866