[Python] set_memory_pool() is misleading

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

The PyArrow `set_memory_pool()` function does not set the C++ default memory pool, but a separate PyArrow-specific default memory pool (which does not seem to be used everywhere, see https://github.com/apache/arrow/issues/47266#issuecomment-3207576731). So in many cases, calling it does not change the underlying allocator for later operations.

We could either fix this function to set the default C++ memory pool (but we would need to add an API for that), or deprecate it.

### Component(s)

Parquet, Python