[CI][Python] Enable extra build options for Windows Python job
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Component: Continuous Integration
Component: Python
Type: enhancement
- Dominant language
- C++
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Description
### Describe the enhancement requested
On:
- https://github.com/apache/arrow/issues/42137
We migrated from AppVeyor to GitHub actions.
We are missing some options that could be enabled like:
```
set ARROW_FLIGHT=OFF
set ARROW_GANDIVA=OFF
set ARROW_GCS=OFF
set ARROW_ORC=OFF
```
The different options can be enabled on separate PRs.
### Component(s)
Continuous Integration, Python
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