ARROW-7915: [CI] [Python] Enable development mode in tests

Python's "development mode" enables some runtime checks and warnings
that help developers spot errors in their code (such as resource leaks).

ci/scripts/python_test.sh

@@ -25,4 +25,7 @@ export ARROW_TEST_DATA=${arrow_dir}/testing/data
 export PARQUET_TEST_DATA=${arrow_dir}/cpp/submodules/parquet-testing/data
 export LD_LIBRARY_PATH=${ARROW_HOME}/lib:${LD_LIBRARY_PATH}
 
+# Enable some checks inside Python itself
+export PYTHONDEVMODE=1
+
 pytest -r s --pyargs pyarrow