[C++] Enable MSVC builds to work with some compression library support disabled

[asfimport]

This arose in Parquet builds

Reporter: Wes McKinney / @wesm
Assignee: Wes McKinney / @wesm

_{Note: This issue was originally created as ARROW-1206. Please see the migration documentation for further details.}

[asfimport]

Wes McKinney / @wesm:
Issue resolved by pull request 832
#832