[Python] Enable bz2 support in Windows wheels

[asfimport]

Reporter: Wes McKinney / @wesm

Related issues:

• [Python] Enable bz2 in Linux wheels (relates to)
• [Packaging][Python] Use vcpkg as dependency source for manylinux and windows wheels (is superceded by)

_{Note: This issue was originally created as ARROW-5667. Please see the migration documentation for further details.}

[asfimport]

Antoine Pitrou / @pitrou:
This seems to have been fixed as part of ARROW-11212