[C++][CI] MinGW builds shouldn't compile grpcio

[asfimport]

MinGW builds currently compile the GCS testbench and grpcio for MinGW.
When the compiled MinGW wheel is not in cache, compiling takes a very long time (\*). But Win32 and Win64 binary wheels are available on PyPI.

This is pointless: the GCS testbench could simply run with the system Python instead of the msys2 Python, and always use the binaries from PyPI.

(\*) see for example https://github.com/pitrou/arrow/runs/8071607360 where installing the GCS testbench took 18 minutes

Reporter: Antoine Pitrou / @pitrou
Assignee: Kouhei Sutou / @kou

PRs and other links:

• GitHub Pull Request #14272

_{Note: This issue was originally created as ARROW-17550. Please see the migration documentation for further details.}

[asfimport]

Antoine Pitrou / @pitrou:
cc @kou

[asfimport]

Kouhei Sutou / @kou:
We couldn't choose the system Python approach when I implement this because there was cpp/src/arrow/python/.
But we can do it now because ARROW-16340 moved cpp/src/arrow/python/ to python/pyarrow/src/.

[asfimport]

Antoine Pitrou / @pitrou:
@kou Would you like to prioritize this?

[asfimport]

Kouhei Sutou / @kou:
OK. I'll do it.

[asfimport]

Kouhei Sutou / @kou:
Issue resolved by pull request 14272
#14272