[Python] Improve error messaging when installing pyarrow from source from sdist

When users do `pip install pyarrow` and in case this for whatever reason (unsupported platform, python version, ..) doesn't install a binary wheel, but downloads the sdist and tries to build pyarrow from source, this typically _always_ fails (because such user typically doesn't have Arrow C++ already pre-installed) and generally with a quite confusing error message (about not having cmake, or about cmake not finding Arrow, ..)

In our setup.py, we might be able to detect / catch this situation? (not fully sure if that is entirely trivial) And in such a case provide a more informative error message?