MINOR: [Docs][C++] Clarify ARROW_TEST_DATA requirement for tests

[meher745]

Rationale for this change

While setting up the C++ build on macOS, I encountered an IOError during testing because ARROW_TEST_DATA and PARQUET_TEST_DATA were not set. The current documentation lacks a clear warning that these exports are mandatory for a successful test pass.

What changes are included in this PR?

I added a .. note:: block to building.rst clarifying the need to initialize submodules and export absolute paths for test data folders.

Are these changes tested?

Yes, I built the documentation locally using Sphinx (make html) to verify the formatting renders correctly.

Are there any user-facing changes?

Yes, this updates the developer-facing documentation for C++ building.

[raulcd]

Thanks for the PR! @meher745 this is great. A small nit, should this bit go specifically one paragraph earlier (line 316)?
Before line 316 we discuss about building the unit tests so it's much more related. People reading about building tests might skip this paragraph as we have a "non-related" paragraph about linux distribution issues in the middle. cc @AlenkaF

[meher745]

Hi @raulcd ! I've updated the PR and moved the note to line 316 as suggested. Thanks for the quick review.

[raulcd]

@github-actions crossbow submit preview-docs

[github-actions]

Revision: bb12d58

Submitted crossbow builds: ursacomputing/crossbow @ actions-4b2930f0e9

Task	Status
preview-docs

[raulcd]

Also, not related to your PR but if you could rebase main we will be able to get the docs CI passing as there was an issue that was causing both the Docs checks and the preview-docs to fail that has already been solved there.

[raulcd]

@github-actions crossbow submit preview-docs

[github-actions]

Revision: 7d44834

Submitted crossbow builds: ursacomputing/crossbow @ actions-eef1314075

Task	Status
preview-docs

[raulcd]

Changes are correctly reflected here:
https://s3.amazonaws.com/arrow-data/pr_docs/48789/developers/cpp/building.html#manual-configuration