[C++] Disable jemalloc by default with MinGW

Because we can't run autogen.sh from cmake.

We can use jemalloc installed by pacman but we can't use it. Because
we always use bundled jemalloc for now.

ci/appveyor-cpp-build-mingw.bat

@@ -46,7 +46,6 @@ cmake ^
     -DCMAKE_BUILD_TYPE=%CMAKE_BUILD_TYPE% ^
     -DARROW_VERBOSE_THIRDPARTY_BUILD=OFF ^
     -DARROW_PACKAGE_PREFIX=%MINGW_PREFIX% ^
-    -DARROW_JEMALLOC=OFF ^
     -DARROW_USE_GLOG=OFF ^
     -DARROW_PARQUET=ON ^
     -DARROW_PYTHON=ON ^

cpp/cmake_modules/ThirdpartyToolchain.cmake

@@ -1127,7 +1127,7 @@ if(ARROW_WITH_PROTOBUF)
   message(STATUS "Found protobuf headers: ${PROTOBUF_INCLUDE_DIR}")
 endif()
 
-if(MSVC)
+if(WIN32)
   # jemalloc is not supported on Windows
   set(ARROW_JEMALLOC off)
 endif()