Improve our windows build situation

[kumpera]

Out current build story on windows needs some love.

The problem:

We currently have two build scripts for rlclientlib: cmake and msbuild.
The CI coverage of the msbuild setup is not as throughout as the cmake one.

We should improve things by either eliminating the msbuild bits (while retaining a VS experience) or by improving our CI bits.

For CI, we don't build the dotnet bits using the msbuild scripts and this triggered a regression when zstd was introduced. It's fixed by #232 but CI should catch such trivial issue.

[lokitoth]

This was partially improved in #320 and #332 (pending #335).

Remaining work here seems to be:

• Migrate to CMake in Windows CI (should net us a nice time improvement too)
• Deprecate non-CMake projects (need to figure out how to communicate this to downstream consumers)