[C++] Stop defining ARROW_TEST_MEMCHECK in config.h.cmake

### Describe the bug, including details regarding any error messages, version, and platform.

We already have the ARROW_VALGRIND macro for Valgrind. We don't need to define a new macro for Valgrind.

See also: https://github.com/apache/arrow/pull/41163#discussion_r1562204543

### Component(s)

C++