Update setup_build_env and third-party script to be more userfriendly #15488
Description
If curl, cmake or make are missing from the users hosts and they run source setup_build_env.sh, the script still runs to completion but doesn't actually work nor does it provide useful errors.
Reporter: Micah Kornfield / @emkornfield
Note: This issue was originally created as ARROW-68. Please see the migration documentation for further details.