Add max_concurrency support for azure

[omBratteng]

Motivation

download_blob in azure.storage.blob supports setting a max concurrency for downloading blobs, which can improve download speeds. In a similar implementation of smart_open, we've noticed that downloading a 313 GiB file averaged 83 minutes download time, whilst smart_open at 122 minutes.

Some benchmarks (note: these also calculates the sha256 checksum of the blob downloaded)
buffer_size is set to 268435456

smart_open (max_concurrency=4)	smart_open (max_concurrency=1)	our implementation (max_concurrency=4)	our implementation (max_concurrency=1)
49.8843s	69.1530s	49.7495s	69.4825s
49.3389s	69.1241s	49.0315s	68.9774s
49.3781s	66.0186s	48.4432s	69.1307s
avg: 49.5338s	avg: 68.0986s	avg: 49.0747s	avg: 69.1969s

As one can see, setting max_concurrency to 4, gives a decrease of 27%, which I think is significant, and is a nice feature to add to the azure connector in smart_open

Tests

If there are any failures, please fix them before creating the PR (or mark it as WIP, see below).

Failing tests seems to not be related to azure, but s3

Checklist

Before you create the PR, please make sure you have:

• Picked a concise, informative and complete title
• Clearly explained the motivation behind the PR
• Linked to any existing issues that your PR will be solving
• Included tests for any new functionality
• Checked that all unit tests pass

[mpenkov]

@omBratteng Could you please enable maintainer edits for this PR? I need to push some changes to get the tests working, but I'm getting permission denied.

[omBratteng]

@mpenkov I can't see where to enable it after I've created the PR, but I've added you to our fork, so you should be able to edit it there directly.
If not, I can close and open a new PR.

[mpenkov]

I'd rather get things working in this PR. I'm still getting permission denied, though.

Can you please have a look here: https://docs.github.com/en/github/collaborating-with-pull-requests/working-with-forks/allowing-changes-to-a-pull-request-branch-created-from-a-fork

That has instructions for giving maintainer access to PRs.

[omBratteng]

Sorry @mpenkov, I can't seem to have that option anywhere. If it's just to get the latest commits in from the develop branch, I can do a rebase.

[mpenkov]

No need to rebase, just merge the develop HEAD.

[omBratteng]

Done

[mpenkov]

Looks good to me!

[mpenkov]

Thank you for your contribution @omBratteng !