[C++][Python] strptime fails to parse with %p on Windows

As reported in https://github.com/apache/arrow/issues/13111 parsing a timestamp with %p will fail on Windows. This is probably due to issues with vendored strptime on Windows locales.
We should explore which flags can be enabled and how. Strptime tests suite should be expanded https://github.com/apache/arrow/blob/master/cpp/src/arrow/compute/kernels/scalar_string_test.cc#L1842-L1890.

**Reporter**: [Rok Mihevc](https://issues.apache.org/jira/browse/ARROW-16618) / @rok
**Watchers**: [Rok Mihevc](https://issues.apache.org/jira/browse/ARROW-16618) / @rok
#### Related issues:
- [[C++] Strptime issues umbrella](https://github.com/apache/arrow/issues/31324) (is a child of)
- [[C++][R] strptime fails to parse with %b or %B on Windows](https://github.com/apache/arrow/issues/31816) (relates to)

_{**Note**: *This issue was originally created as [ARROW-16618](https://issues.apache.org/jira/browse/ARROW-16618). Please see the [migration documentation](https://github.com/apache/arrow/issues/14542) for further details.*}

Start with the strptime tests in cpp/src/arrow/compute/kernels/scalar_string_test.cc, especially lines 1842-1890, and compare the related Windows locale issue in #31816. Investigate which flags can be enabled for the vendored strptime implementation on Windows. Done means expanded tests cover parsing with %p and pass on Windows.

Written by the indexing model from the issue text.