GH-39119: [C++] Refactor the Azure FS tests and filesystem class inst…

…antiation (#39207)

### Rationale for this change

This PR contains some unrelated improvements (like better docs) and some nitpicky fixes. The test refactoring makes it easier to see on which environments tests run and make them able to be instantiated with different options in the future once we extend the `AzureOptions`.

### What changes are included in this PR?

 - Random cleanups
 - Short namespace aliases
 - Refactoring of the tests (multiple environments, TYPED_TEST_SUITE, explicit preexisting data setup)
 - Cleanup of the `AzureOptions` class

### Are these changes tested?

Yes. I created Azure Storage accounts to test with and without Hierarchical Namespace support. I also ran the tests in a shell without my environment variables to ensure the test-skipping behavior is correct.

### Are there any user-facing changes?

Changes to `AzureOptions`, but since `AzureFileSystem` is not really used yet, these breaking changes won't be a problem.
* Closes: #39119

Authored-by: Felipe Oliveira Carvalho <[email protected]>
Signed-off-by: Felipe Oliveira Carvalho <[email protected]>