Add more setup check

Author: kou

cpp/src/arrow/filesystem/azurefs_test.cc

@@ -892,9 +892,13 @@ class TestAzureFileSystem : public ::testing::Test {
   }
 
   void SetUp() override {
-    auto make_options = [this]() -> Result<AzureOptions> {
-      ARROW_ASSIGN_OR_RAISE(auto env, GetAzureEnv());
-      EXPECT_THAT(env, NotNull());
+    auto env_result = GetAzureEnv();
+    if (!env_result.ok()) {
+      GTEST_SKIP() << "Failed to setup: " << env_result.status().ToString();
+    }
+    auto env = *env_result;
+    EXPECT_THAT(env, NotNull());
+    auto make_options = [this, &env]() -> Result<AzureOptions> {
       ARROW_ASSIGN_OR_RAISE(debug_log_start_, env->GetDebugLogSize());
       return MakeOptions(env);
     };