[C++] Name the threads in thread pools

Via platform-specific functions like `pthread_setname_np` and `SetThreadDescription` we can assign names to threads that will be visible in debuggers, which can help debug async code where it's otherwise difficult to tell what thread pool a thread is part of.

**Reporter**: [David Li](https://issues.apache.org/jira/browse/ARROW-15284) / @lidavidm

_{**Note**: *This issue was originally created as [ARROW-15284](https://issues.apache.org/jira/browse/ARROW-15284). Please see the [migration documentation](https://github.com/apache/arrow/issues/14542) for further details.*}

Start by locating Apache Arrow's thread-pool implementations and the platform-specific naming entry points mentioned in the issue: pthread_setname_np and SetThreadDescription. Check how threads are created on each supported platform; done means thread-pool threads expose useful names in debuggers while unsupported platforms continue to work.

Written by the indexing model from the issue text.