DEPS: Add warning if pyarrow is not installed
- [ ] closes #xxxx (Replace xxxx with the GitHub issue number)
- [ ] [Tests added and passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#writing-tests) if fixing a bug or adding a new feature
- [ ] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).
- [ ] Added [type annotations](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#type-hints) to new arguments/methods/functions.
- [ ] Added an entry in the latest `doc/source/whatsnew/vX.X.X.rst` file if fixing a bug or adding a new feature.

~~Not sure how to add a test for this - importing our warning asserters would cause the warning the be raised! 🤣 ~~

EDIT: Nvm, figured it out.

(I've checked by hand that the warning is both raised when you import pandas directly and import a submodule of pandas e.g. ``pandas.arrays``.
I also double checked that the warning only occurs once and not on every import.)
also cc @pandas-dev/pandas-core for feedback on the warning message itself. Merging for now, happy to address any followups in another PR. Sorry to comment here rather than an issue but this feels like quite a niche gotcha -- just a heads up that the warning added here starts with a newline which makes it annoying to filter out (as `filterwarnings` always matches the start of the message).

e.g., neither

```
"ignore:Pyarrow will become a required dependency of pandas.*:DeprecationWarning"
```

nor

```
"ignore:.*Pyarrow will become a required dependency of pandas.*:DeprecationWarning"
```

nor

```
"ignore:.*pandas.*:DeprecationWarning"
```

will match the message, and what is required is

```
"ignore:\\nPyarrow will become a required dependency of pandas.*:DeprecationWarning"
```

I guess changing it now might cause more pain, but I suspect you may get a few more questions on this before v3 (unless I am singularly confused by this -- a quick GH search shows a few PRs that also took a while to get this correct in other packages)!