Make chunk manager an option in `set_options` #13686

Job	Run time
detect ci trigger	3s
Event File	4s
ubuntu-latest py3.10	2m 53s
ubuntu-latest py3.12	2m 53s
macos-latest py3.10	2m 41s
macos-latest py3.12	2m 42s
windows-latest py3.10	2m 38s
windows-latest py3.12	2m 36s
ubuntu-latest py3.10 bare-minimum	1m 57s
ubuntu-latest py3.10 min-all-deps	2m 52s
ubuntu-latest py3.11 all-but-dask	2m 53s
ubuntu-latest py3.12 flaky	2m 52s
	27m 4s

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