Set PYARROW_WITH_AZURE in python_sdist_test.sh

ci/scripts/python_sdist_test.sh

@@ -28,6 +28,7 @@ export PARQUET_TEST_DATA=${arrow_dir}/cpp/submodules/parquet-testing/data
 export PYARROW_CMAKE_GENERATOR=${CMAKE_GENERATOR:-Ninja}
 export PYARROW_BUILD_TYPE=${CMAKE_BUILD_TYPE:-debug}
 export PYARROW_WITH_ACERO=${ARROW_ACERO:-ON}
+export PYARROW_WITH_AZURE=${ARROW_AZURE:-OFF}
 export PYARROW_WITH_S3=${ARROW_S3:-OFF}
 export PYARROW_WITH_ORC=${ARROW_ORC:-OFF}
 export PYARROW_WITH_CUDA=${ARROW_CUDA:-OFF}