ARROW-15850: [C++] Engine substrait headers missing from install

Closes #12569 from westonpace/feature/ARROW-15850--substrait-headers-missing

Authored-by: Weston Pace <weston.pace@gmail.com>
Signed-off-by: David Li <li.davidm96@gmail.com>

Author: westonpace

cpp/src/arrow/engine/CMakeLists.txt

@@ -72,3 +72,5 @@ add_arrow_test(substrait_test
                "arrow-engine"
                LABELS
                "arrow_engine")
+
+add_subdirectory(substrait)

cpp/src/arrow/engine/api.h

@@ -19,5 +19,6 @@
 
 #pragma once
 
+#include "arrow/engine/substrait/extension_set.h"
 #include "arrow/engine/substrait/extension_types.h"
 #include "arrow/engine/substrait/serde.h"

cpp/src/arrow/engine/substrait/CMakeLists.txt

@@ -0,0 +1,18 @@
+# Licensed to the Apache Software Foundation (ASF) under one
+# or more contributor license agreements.  See the NOTICE file
+# distributed with this work for additional information
+# regarding copyright ownership.  The ASF licenses this file
+# to you under the Apache License, Version 2.0 (the
+# "License"); you may not use this file except in compliance
+# with the License.  You may obtain a copy of the License at
+#
+#   http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing,
+# software distributed under the License is distributed on an
+# "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY
+# KIND, either express or implied.  See the License for the
+# specific language governing permissions and limitations
+# under the License.
+
+arrow_install_all_headers("arrow/engine/substrait")