[ci] Azure DevOps and GitHub Actions dropping windows-2019 support

[jameslamb]

Description

Azure DevOps and GitHub Actions removing support for the windows-2019 VM image on Azure-hosted runners soon.

Noticed this because Azure DevOps Windows builds on #6931 failed with an error like this:

[error] This is a scheduled Windows Server 2019 brownout. The Windows Server 2019 image will be removed on 2025-06-30. For more details, see actions/runner-images#12045

(build link)

And similarly on GitHub Actions: https://github.com/microsoft/LightGBM/actions/runs/15714964891/job/44282322097?pr=6931

We'll need to drop uses of windows-2019 in CI here.

Benefits of this work

• keeps Windows CI working in this project

Acceptance criteria

• all CI is passing (ideally without reducing total coverage) after Azure DevOps has removed support for windows-2019

Approach

Follow an approach similar to the last time this happened:

• windows-2016 Azure Pipelines environment is deprecated #4748
• Build Windows artifacts in windows-2019 image instead of vs2017-win2016 #5059

Notes

N/A