ARROW-3707: [C++] Fix test regression with zstd 1.3.7

[pitrou]

Upstream issue: facebook/zstd#1385

[pitrou]

The Windows compilation failure is in the static CRT build. The only thing that changed is bumping the zstd version.

libzstd_static.lib(threading.obj) : error LNK2019: unresolved external symbol __imp__beginthreadex referenced in function ZSTD_pthread_create

@Maxris can you advise here?

[maxhora]

@pitrou probably, there is some zstd patching related issue (like linkage to static crt was not configured properly). Need to check more deeply

[pitrou]

I think I'm gonna add the static CRT build as allowed failure. This will allow us to have passing CI for important configurations and let interested people fix the failing builds.

[pitrou]

@kszucs, there's a failing RAT check here. Is it expected?

$ $TRAVIS_BUILD_DIR/ci/travis_release_audit.sh
NOT APPROVED: dev/tasks/docker-tests/travis.linux.yml (apache-arrow/dev/tasks/docker-tests/travis.linux.yml): false
1 unapproved licences. Check rat report: rat.txt

[pitrou]

I think I unbroke the Windows builds now.
@Maxris If you are interested in zstd, it seems it's not possible to do a debug build using the cmake files anymore: facebook/zstd#1278

[kou]

Now, Static_Crt_Build job is green. Can we remove it from allow_failures?

[xhochy]

This also needs a rebase to remove the RAT failure.

[codecov-io]

Codecov Report

Merging #2909 into master will increase coverage by 12.97%.
The diff coverage is 65%.

@@             Coverage Diff             @@
##           master    #2909       +/-   ##
===========================================
+ Coverage   74.37%   87.35%   +12.97%     
===========================================
  Files          68      416      +348     
  Lines        5160    64943    +59783     
===========================================
+ Hits         3838    56734    +52896     
- Misses       1228     8115     +6887     
  Partials       94       94

Impacted Files	Coverage Δ
cpp/src/arrow/util/compression_zstd.cc	91.75% <65%> (ø)
python/pyarrow/ipc.pxi	68.36% <0%> (ø)
cpp/src/parquet/column_page.h	89.28% <0%> (ø)
cpp/src/parquet/bloom_filter-test.cc	99.15% <0%> (ø)
cpp/src/plasma/client.cc	84.54% <0%> (ø)
cpp/src/arrow/io/test-common.h	97.29% <0%> (ø)
cpp/src/arrow/ipc/metadata-internal.h	100% <0%> (ø)
cpp/src/arrow/python/io.cc	94.91% <0%> (ø)
python/pyarrow/hdfs.py	36.84% <0%> (ø)
cpp/src/parquet/column_scanner.cc	60.86% <0%> (ø)
... and 339 more

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