[Python][CI][Packaging] Enable ORC on Windows Appveyor CI and Windows wheels for pyarrow

[raulcd]

Describe the enhancement requested

As found on: #36026 (comment)
It does seem we are not testing pyarrow with ORC enabled on Windows and we are not enabling it on our Windows wheels.
We should enable it.

Component(s)

Continuous Integration, Packaging, Python

[wgtmac]

Thanks for doing this! Let me know if a specific error or failure is caught on the ORC side.

[jorisvandenbossche]

Resolved by #40609