Build Windows artifacts in windows-2019 image instead of vs2017-win2016

[StrikerRUS]

Closed #4748.

Refer to https://docs.microsoft.com/en-us/azure/devops/pipelines/agents/hosted?view=azure-devops&tabs=yaml and https://github.com/actions/virtual-environments/blob/main/images/win/Windows2019-Readme.md.

I'm not sure but it looks like our new Windows artifacts won't be compatible with VC Redistributable 2015 and 2017.

Visual Studio versions since Visual Studio 2015 share the same redistributable files. For example, any apps built by the Visual Studio 2015, 2017, 2019, or 2022 toolsets can use the latest Microsoft Visual C++ Redistributable. However, the version of the Microsoft Visual C++ redistributable installed on the machine must be the same or higher than the version of the Visual C++ toolset used to create your application.
https://docs.microsoft.com/en-us/cpp/windows/latest-supported-vc-redist?view=msvc-170#notes

For example, Visual Studio 2019 redistributable files may be used by apps built by using the Visual Studio 2017 or 2015 toolset. While they may be compatible, we don't support using older redistributable files in apps built by using a newer toolset. For example, using the 2017 redistributable files in apps built by using the 2019 toolset isn't supported.
https://docs.microsoft.com/en-us/cpp/windows/determining-which-dlls-to-redistribute?view=msvc-170

[StrikerRUS]

This PR should be merged before March 15 to not break our CI services.

[StrikerRUS]

There is an ongoing discussion for supporting Visual Studio 2017 in windows-2019 image. Probably worth a subscription:

• Windows-2016 environment will be removed on March 15, 2022 actions/runner-images#4312 (comment)
• VS 2017 support after windows-2016 is deprecated actions/runner-images#5177

[jameslamb]

Thanks for this! I agree that it seems we have no other option, given the significant effort it seems would be required to use Windows containers and the lack of interest from Microsoft/GitHub in the various issues linked to this PR.

[github-actions]

This pull request has been automatically locked since there has not been any recent activity since it was closed. To start a new related discussion, open a new issue at https://github.com/microsoft/LightGBM/issues including a reference to this.