BLD: include dll in package_data on Windows
- [x] closes #21106
- [ ] tests added / passed
- [ ] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Not sure how to test this, but I believe should remove the runtime dependency by static linking against the MSVC++ runtime.  @cgohlke any thoughts?