Concurrent loading of coordinate arrays from Zarr

[shoyer]

When you open a dataset with Zarr, xarray loads coordinate arrays corresponding to indexes in serial. This can be slow (multiple seconds) even with only a handful of such arrays if they are stored in a remote filesystem (e.g., cloud object stores). This is similar to the use-cases for consolidated metadata.

In principle, we could speed up loading datasets from Zarr into Xarray significantly by reading the data corresponding to these arrays in parallel (e.g., in multiple threads).

[TomNicholas]

See #8965 and #10326 for a more current discussion of this same idea. #10327 would be one way to close this issue.