Describe the enhancement requested

Child of: #39317
blocked by #38598 - probably best to wait for all the planned configuration options to be implemented on the C++ side.

The C++ file-system implementation has lots of configuration options, e.g. for all the different Azure authentication methods. #39968 added the python bindings but was deliberately minimal in terms of the configuration options it exposed.

Should bear in mind consistency and code re-use with AzureOptions::FromUri() implemented by #40325. See discussion at #40021 (comment)

Component(s)

Python