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Use Arrow PyCapsule Interface instead of Dataframe Interchange Protocol #3756

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@WillAyd

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@WillAyd

This is something I've chatted with @MarcoGorelli offline about. At the time it was implemented in seaborn, the Dataframe Interchange Protocol was the best option for exchanging dataframe-like data. However, since that was implemented in seaborn, the PyArrow Capsule Interface has come along and solved many of the issues that the DataFrame Interchange Protocol left open.

Without knowing the current state of the interchange implementation of seaborn, switching to the PyArrow Capsule Interface should solve at least the following issues:

The interface has been adopted by a good deal of projects already, some of which are being tracked in apache/arrow#39195

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