CI: Align GHA and Windows Azure dependencies
- [x] [Tests added and passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#writing-tests) if fixing a bug or adding a new feature
- [x] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).

Broken off from https://github.com/pandas-dev/pandas/pull/45478, Windows builds have been relatively stable in those PR 
cool thanks @mroeschke  @meeeseeksdev backport 1.4.x Thanks @mroeschke

Not sure how important it is now, but we may want to revisit our pyarrow compatibility testing as pyarrow 2 (and 6) were removed here. Our pyarrow backed string array originally (and still does for now) use a fallback for unsupported operations added in pyarrow 2.0 and later. xref #42613 Ah gotcha. I'll try to get to https://github.com/pandas-dev/pandas/issues/45705 this week so we can add and `include` build for various pyarrow versions 

https://docs.github.com/en/actions/using-workflows/workflow-syntax-for-github-actions#example-including-additional-values-in-combinations