[CI][Python] Reuse ci/scripts/cpp_build.sh instead of custom bat file on Python Windows CI job
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Component: Continuous Integration
Component: Python
Type: enhancement
- Dominant language
- C++
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Description
### Describe the enhancement requested
The Python Windows CI job was migrated from AppVeyor. We decided to use a build script, `ci/scripts/python_build.bat`, that is similar to what we were doing on AppVeyor.
It would be nice to reuse the same `cpp_build.sh` we use on the rest of the jobs and get rid of the custom `.bat` script (or part of it), we might still need it to build Python.
### Component(s)
Continuous Integration, Python
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