[CI] Fix JVM tests on Windows

[hcho3]

https://github.com/dmlc/xgboost/actions/runs/9470870529/job/26092755865

Closes #10344

[hcho3]

Update: The xgboost4j.dll binary built by the CI pipeline is corrupted. I was able to reproduce the same error on my Windows machines.

Steps taken:

1. Download xgboost4j.dll from https://s3-us-west-2.amazonaws.com/xgboost-nightly-builds/fix_win/libxgboost4j/xgboost4j_6384bce6aae53b791187fd0db21e574a7a6c1100.dll
2. Rename the file to xgboost4j.dll and put it under jvm-packages/xgboost4j/src/main/resources/lib/windows/x86_64.
3. Open the Powershell and run:

$env:MAVEN_SKIP_NATIVE_BUILD=1
mvn test -B -pl :xgboost4j_2.12

[hcho3]

I probably spent too much time on this. I will try to move the JVM tests to BuildKite and see if it works.

[hcho3]

Given that 2.1.0 release is just around the corner, I am choosing the least disruptive option (Option 2).

[hcho3]

Even when I tried running Java and Python separately, I still get the same error (DLL initialization failed). If we cannot find a fix, we may need to consider excluding Windows binary in the upcoming release.

@trivialfis @Craigacp @jameslamb

[hcho3]

As fate has it, the DLL error had nothing to do with duplication of core libraries. The DLL error was actually caused by improper mixing of two modes of linking for the C runtime.

Background: On Windows, you can choose to link with the C runtime dynamically (/MD build option) or statically (/MT). When building an application, it is imperative that all components are built with the same choice of runtime linking. You will get an undefined behavior when some components are built with /MD and others with /MT.
The current method of choosing between /MD and /MT was not sufficiently robust (#10344). So when the MSVC was updated, some of the components got the /MD flag when the correct default for XGBoost is /MT.

Fix. Use a more robust method to enforce the /MT option for all components. See #10344.

[hcho3]

@trivialfis Looks like the CI is unblocked now. Can you review?

[trivialfis]

Huge thanks for the fix!