CLN: clean the conda-to-pip script
precursor of #42304

No objections here, good to remove the now-unnecessary `azure` flag thanks @fangchenli  this is a precursor to #42304, see https://github.com/pandas-dev/pandas/pull/42720#issue-696688995

needs backport for #42901 @meeseeksdev backport 1.3.x