[Python] Deprecate passing build flags to setup.py (e.g. setup.py --with-parquet) #43514

As mentioned in #41494 (comment) (while refactoring how to specify to the pyarrow build which components to build, i.e. to let it follow the Arrow C++ components by default), we do have a "feature" that you can specify which components to build directly to setup.py, like python setup.py build_ext --with-parquet.

This is currently not used in our own codebase, and is also not documented anymore, but we did document it in the past.

In general calling setup.py directly is not recommended (although for development installs, it is still useful), furthermore there are alternatives to those flags (relying on Arrow C++ or setting an environment variable), and this would go away anyhow in case we would move away from setuptools at some point.
So I think it is better to deprecate those options.