Describe the enhancement requested

Child issue of #39317

Currently Azure is disabled in pyarrow wheel builds.

There are a collection of scripts for pyarrow wheel builds on different OSs e.g. python_wheel_macos_build.sh, python_wheel_manylinux_build.sh, python_wheel_unix_test.sh, python_wheel_windows_build.bat, ...

Probably we should try to enable Azure by default in all the cases where S3 and GCS are also enabled by default.

Component(s)

Python