ARROW-6808: [Ruby] Ensure requiring suitable MSYS2 package

[kou]

No description provided.

[github-actions]

https://issues.apache.org/jira/browse/ARROW-6808

[codecov-io]

Codecov Report

Merging #5703 into master will decrease coverage by <.01%.
The diff coverage is n/a.

@@            Coverage Diff             @@
##           master    #5703      +/-   ##
==========================================
- Coverage   88.94%   88.93%   -0.01%     
==========================================
  Files         989      989              
  Lines      134526   134526              
  Branches     1501     1501              
==========================================
- Hits       119651   119645       -6     
- Misses      14510    14516       +6     
  Partials      365      365

Impacted Files	Coverage Δ
cpp/src/arrow/filesystem/s3_internal.h	90.74% <0%> (-3.71%)	⬇️
cpp/src/arrow/csv/column_builder.cc	95.54% <0%> (-1.49%)	⬇️
cpp/src/plasma/thirdparty/ae/ae.c	70.75% <0%> (-0.95%)	⬇️
python/pyarrow/tests/test_parquet.py	95.3% <0%> (+0.05%)	⬆️

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[kszucs]

LGTM