Fix conversion of multidim arrays in list to arrow

[lhoestq]

Arrow only supports 1-dim arrays. Previously we were converting all the numpy arrays to python list before instantiating arrow arrays to workaround this limitation.
However in #2361 we started to keep numpy arrays in order to keep their dtypes.
It works when we pass any multi-dim numpy array (the conversion to arrow has been added on our side), but not for lists of multi-dim numpy arrays.

In this PR I added two strategies:

• one that takes a list of multi-dim numpy arrays on returns an arrow array in an optimized way (more common case)
• one that takes a list of possibly very nested data (lists, dicts, tuples) containing multi-dim arrays. This one is less optimized since it converts all the multi-dim numpy arrays into lists of 1-d arrays for compatibility with arrow. This strategy is simpler that just trying to create the arrow array from a possibly very nested data structure, but in the future we can improve it if needed.

Fix #2921