[CI] Move appveyor tests to action (#6986)

* Drop support for VS14, use VS15 instead.
* Drop support for mingw.
* Remove debug build.
* Split up jvm tests.
* Split up Python tests.

tests/ci_build/conda_env/win64_cpu_test.yml

@@ -0,0 +1,21 @@
+name: win64_env
+channels:
+- conda-forge
+dependencies:
+- python
+- wheel
+- numpy
+- scipy
+- scikit-learn
+- pandas
+- matplotlib
+- dask
+- distributed
+- python-graphviz
+- pytest
+- jsonschema
+- hypothesis
+- jsonschema
+- pip
+- pip:
+  - graphviz