## Which issue does this PR close?

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- Closes apache#19720.

## Rationale for this change

- Choosing LZO compression errors, I think it might never get supported
so the best option moving forward is to remove it algother and update
the docs.

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## What changes are included in this PR?

- Removed LZO from parse_compression_string() function
- Removed docs
- Updated exptected test output

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## Are these changes tested?

Yes

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## Are there any user-facing changes?

User choosing LZO as compression will get a clear error message:

```
Unknown or unsupported parquet compression: lzo. Valid values are: uncompressed, snappy, gzip(level), brotli(level), lz4, zstd(level), and lz4_raw.
```

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