[C++][CI] Add an appveyor CI job for VisualStudio 2019, non-conda

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From:
#11211 (review)

ARROW-14070 removes the VisualStudio 2015 job, which does not use conda packages for dependencies. It'd be useful to test with a newer compiler (existing jobs use VS2017) as well as checking that we can build with a non-conda dependency source (perhaps vcpkg)

Reporter: Ben Kietzman / @bkietz

_{Note: This issue was originally created as ARROW-14075. Please see the migration documentation for further details.}

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Ian Cook / @ianmcook:
FYI there is one crossbow job test-build-vcpkg-win that uses VS 2019 and uses vcpkg to install dependencies.

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Antoine Pitrou / @pitrou:
There is a VS 2019 + Windows 2019 job on Github Actions, with C++17 enabled. Do we want to add some other configuration still?

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Jacob Wujciak / @assignUser:
With crossbow and gha there a two different non-conda builds being checked with vs19. If there are any other, specific setups we should test please create another issue @bkietz