Consider migrating CI to Azure Pipelines

[dupdob]

We should consider migrating the build to azure pipelines instead of Appveyor. We would gain better integration with GitHub (live reporting of builds) as well as testing on non windows platforms (great for linux and mac compatibility checks).
But not sure if we can replicate the pipeline on a local machine. At the very least, we can keep the current one.
No idea of how much effort is required to migrate. I open this issue for discussion purposes.