GH-37510: [C++] Don't install bundled Azure SDK for C++ (#38176)

### Rationale for this change

It's an internal bundled library. We should not install it as a part of Arrow.

### What changes are included in this PR?

Exclude all Azure SDK for C++ jobs including install jobs aren't executed by default. Building jobs are executed because they are required to build Arrow.

### Are these changes tested?

Yes.

### Are there any user-facing changes?

Yes.
* Closes: #37510

Authored-by: Sutou Kouhei <kou@clear-code.com>
Signed-off-by: Sutou Kouhei <kou@clear-code.com>

ci/docker/ubuntu-20.04-cpp.dockerfile

@@ -146,7 +146,7 @@ RUN /arrow/ci/scripts/install_sccache.sh unknown-linux-musl /usr/local/bin
 # static Arrow to run Flight/Flight SQL tests
 ENV absl_SOURCE=BUNDLED \
     ARROW_ACERO=ON \
-    ARROW_AZURE=ON \
+    ARROW_AZURE=OFF \
     ARROW_BUILD_STATIC=ON \
     ARROW_BUILD_TESTS=ON \
     ARROW_DEPENDENCY_SOURCE=SYSTEM \

cpp/cmake_modules/ThirdpartyToolchain.cmake

@@ -5070,8 +5070,20 @@ endif()
 # Azure SDK for C++
 
 function(build_azure_sdk)
+  if(CMAKE_VERSION VERSION_LESS 3.22)
+    # We can't disable installing Azure SDK for C++ by
+    # "set_property(DIRECTORY ${azure_sdk_SOURCE_DIR} PROPERTY
+    # EXCLUDE_FROM_ALL TRUE)" with CMake 3.16.
+    #
+    # At least CMake 3.22 on Ubuntu 22.04 works. So we use 3.22
+    # here. We may be able to use more earlier version here.
+    message(FATAL_ERROR "Building Azure SDK for C++ requires at least CMake 3.22. "
+                        "(At least we can't use CMake 3.16)")
+  endif()
   message(STATUS "Building Azure SDK for C++ from source")
   fetchcontent_declare(azure_sdk
+                       # EXCLUDE_FROM_ALL is available since CMake 3.28
+                       # EXCLUDE_FROM_ALL TRUE
                        URL ${ARROW_AZURE_SDK_URL}
                        URL_HASH "SHA256=${ARROW_AZURE_SDK_BUILD_SHA256_CHECKSUM}")
   prepare_fetchcontent()
@@ -5084,6 +5096,9 @@ function(build_azure_sdk)
   set(ENV{AZURE_SDK_DISABLE_AUTO_VCPKG} TRUE)
   set(WARNINGS_AS_ERRORS FALSE)
   fetchcontent_makeavailable(azure_sdk)
+  if(CMAKE_VERSION VERSION_LESS 3.28)
+    set_property(DIRECTORY ${azure_sdk_SOURCE_DIR} PROPERTY EXCLUDE_FROM_ALL TRUE)
+  endif()
   set(AZURE_SDK_VENDORED
       TRUE
       PARENT_SCOPE)