MINOR: [Docs][Python] Add more text around PyArrow build types #38522
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Rationale for this change
It's not very clear that PyArrow will get built in release mode even if the linked Arrow C++ is built in debug mode. I added some text to the docs to make it more clear. An example of a user running into this is #38519.
Are these changes tested?
No as they're just minor docs changes.
Are there any user-facing changes?
This adds text to the Python docs.