fix(python): Reduce scope of multi-threaded numpy conversion

[ritchie46]

Only when we cannot move zero-copy. We catch the FileNotFound error and recurse without multithreading if failed.

fixes #16675

[codecov]

Codecov Report

Attention: Patch coverage is 71.42857% with 2 lines in your changes are missing coverage. Please review.

Project coverage is 81.45%. Comparing base (15981d7) to head (472565d).

Files	Patch %	Lines
py-polars/polars/_utils/construction/dataframe.py	71.42%	2 Missing ⚠️

Additional details and impacted files

@@            Coverage Diff             @@
##             main   #16686      +/-   ##
==========================================
- Coverage   81.47%   81.45%   -0.02%     
==========================================
  Files        1416     1416              
  Lines      186884   186887       +3     
  Branches     3021     3021              
==========================================
- Hits       152257   152224      -33     
- Misses      34094    34131      +37     
+ Partials      533      532       -1     

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