[CI] add windows+GPU build/test

[Rhett-Ying]

🔨Work Item

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Project tracker: https://github.com/orgs/dmlc/projects/2

Description

In order to capture issue like #6135, we'd better enable windows+GPU in CI or we could cover such scenario in daily nightly build. Anyway, we need to be aware of any build/test issue in advance of release.

Depending work items or issues