[Python] Investigate test_read_multiple_files TODO

### Describe the bug, including details regarding any error messages, version, and platform.

When removing `ParquetDatased` legacy code path a test from `python/pyarrow/tests/parquet/test_dataset.py` had to be updated and there was a TODO connected to the "Dataset API skipping bad files" we kept as a comment, see [comment](https://github.com/apache/arrow/pull/39112/files/0cbd03dcbafb76853c0eabb08d74795afd77cc4a#r1431129290). This todo should be looked into and a test for it should be added as a follow up to https://github.com/apache/arrow/pull/39112.

### Component(s)

Python