[CI] Fix JVM tests on GH Action

[trivialfis]

No description provided.

[hcho3]

Need some help?

[trivialfis]

Thank you, I'm trying to resolve the JVM build issue on Windows #10059 Not sure what's updated on GitHub, just adding some logs at the moment and see why the Python package builds fine but the JVM package doesn't.

[hcho3]

The latest Windows runner image 20240218.2.0 is somehow broken. The CI was fine for the previous version 20240211.1.0.

[trivialfis]

Considering the Python package is working fine, it might be caused by a conflict in environment variables between the setup-java action and the new image, but I can't be sure, just making random trial and error at the moment. It seems we can't downgrade or freeze the image version https://stackoverflow.com/questions/64882287/specify-runner-version-within-github-actions

[hcho3]

I was able to fix the pipeline. For some reason, you can run cmake .. -G"Visual Studio 17 2022" outside create_jni.py, but running the same command inside create_jni.py leads to an error. It looks like subprocess.run does not have access to all environment variables.

For now, we can work around the issue by building xgboost4j.dll first before running create_jni.py.

[hcho3]

Merging this to unblock the CI.