[SPARK-55671][PYTHON][TESTS] Add zstandard requirement to connect requirement

### What changes were proposed in this pull request?

Add `zstandard` check for connect test requirement check.

### Why are the changes needed?

`zstandard` is now a requirement for connect so we might as well check it for connect tests.

### Does this PR introduce _any_ user-facing change?

No.

### How was this patch tested?

CI.

### Was this patch authored or co-authored using generative AI tooling?

No.

Closes #54464 from gaogaotiantian/add-zstandard.

Authored-by: Tian Gao <gaogaotiantian@hotmail.com>
Signed-off-by: Ruifeng Zheng <ruifengz@apache.org>

Author: gaogaotiantian

python/pyspark/testing/utils.py

@@ -101,6 +101,9 @@ def have_package(name: str) -> bool:
 have_grpc_status = have_package("grpc_status")
 grpc_status_requirement_message = "" if have_grpc_status else "No module named 'grpc_status'"
 
+have_zstandard = have_package("zstandard")
+zstandard_requirement_message = "" if have_zstandard else "No module named 'zstandard'"
+
 
 googleapis_common_protos_requirement_message = ""
 
@@ -140,6 +143,7 @@ def have_package(name: str) -> bool:
     or grpc_requirement_message
     or googleapis_common_protos_requirement_message
     or grpc_status_requirement_message
+    or zstandard_requirement_message
 )
 
 should_test_connect = not connect_requirement_message