[ArrayManager] Enable read_parquet to not create 2D blocks when using ArrayManager
xref https://github.com/pandas-dev/pandas/issues/39146

I was exploring the Parquet IO, and pyarrow has an option to not created consolidated blocks. If we do this when wanting to create an ArrayManager, we can reduce the memory usage. It's a bit slower, though, because there is still the overhead of creating more blocks (that's something that would need to be changed in pyarrow).

Would still need to add a test that checks the option is honored.

small question, LGTM