[CI] Add pip dependence explicitly
Close #27374. Get rid of the conda warning.

@makbigc can you add it to the other CI deps too? If it makes sense to have it for that build, I guess it makes sense to have it in all them (and also `environment.yml`).

Thanks!

CC: @TomAugspurger  Agreed with doing it for all the env files. Added in other builds. And pip is already added in environment.yml.
https://github.com/pandas-dev/pandas/blob/e118b1d6b23d1d829c3db05505ef4873f0314e99/environment.yml#L55 Sorry I wasn't very specific @makbigc, but I meant to add it to the dependency files where pip is being used, we don't need it in the files where there are no pip dependencies. For what you say I guess it was only missing in the file you initially changed. Sorry about that. It doesn't matter. I haven't done a lot of work.
`azure-macos-35.yaml`  is the only file which doesn't specify pip dependence explicitly but use pip to install other packages.  Thanks!