Concurrent loading of coordinate arrays from Zarr

When you open a dataset with Zarr, xarray loads coordinate arrays corresponding to indexes in serial. This can be slow (multiple seconds) even with only a handful of such arrays if they are stored in a remote filesystem (e.g., cloud object stores). This is similar to the use-cases for consolidated metadata.

In principle, we could speed up loading datasets from Zarr into Xarray significantly by reading the data corresponding to these arrays in parallel (e.g., in multiple threads).

Start by tracing how Zarr datasets load coordinate arrays corresponding to indexes, particularly the serial loading path described in the issue. No files or tests are named, so identify the relevant entry points and existing coverage before deciding on an approach. Done means coordinate arrays load concurrently where appropriate and remote-filesystem loading is measurably faster without changing dataset behavior.