GH-45568: [C++][Parquet][CMake] Enable zlib automatically when Thrift…

… is needed (#45569)

### Rationale for this change

Required dependencies checks must be done automatically.

### What changes are included in this PR?

* Fix variable name
* Fix check order

### Are these changes tested?

Yes.

### Are there any user-facing changes?

Yes.
* GitHub Issue: #45568

Authored-by: Sutou Kouhei <kou@clear-code.com>
Signed-off-by: Sutou Kouhei <kou@clear-code.com>

cpp/cmake_modules/ThirdpartyToolchain.cmake

@@ -386,14 +386,14 @@ if(ARROW_WITH_OPENTELEMETRY)
   set(ARROW_WITH_PROTOBUF ON)
 endif()
 
-if(ARROW_THRIFT)
-  set(ARROW_WITH_ZLIB ON)
-endif()
-
 if(ARROW_PARQUET)
   set(ARROW_WITH_THRIFT ON)
 endif()
 
+if(ARROW_WITH_THRIFT)
+  set(ARROW_WITH_ZLIB ON)
+endif()
+
 if(ARROW_FLIGHT)
   set(ARROW_WITH_GRPC ON)
 endif()