[Python] Improve error message if certain submodule (cython or cpp) is not built #36553

xref conda-forge/arrow-cpp-feedstock#1035 (comment)

You can built a more minimal Arrow C++ / pyarrow (or distribute it in parts, potentially for conda-forge). This is already possible right now, and gives an error about the .so not being found at runtime. For example, removing libarrow_dataset.so from my conda env and then importing pyarrow's dataset submodule gives:

In [1]: import pyarrow.dataset as ds
...
ImportError: libarrow_dataset.so.1300: cannot open shared object file: No such file or directory

We should improve this error message: for each optional component, we can add a try/except around the import of the compiled module, re-raising an ImportError with a more informative error message about the subcomponent not being enabled / installed.