Run tests with ClangCL and Visual Studio on our CI services

[StrikerRUS]

Created in the response to #5259.

[StrikerRUS]

Closed in favor of being in #2302. We decided to keep all feature requests in one place.

Welcome to contribute this feature! Please re-open this issue (or post a comment if you are not a topic starter) if you are actively working on implementing this feature.

[github-actions]

This issue has been automatically locked since there has not been any recent activity since it was closed.
To start a new related discussion, open a new issue at https://github.com/microsoft/LightGBM/issues
including a reference to this.

[jameslamb]

Sorry, this was locked accidentally. Just unlocked it. We'd still love help with this feature!