CI: Remove powershell scripts (Azure)
- [x] closes #26344

Ref @jbrockmendel comment here https://github.com/pandas-dev/pandas/pull/23454#discussion_r360933924

CI: fails as expected example [here](https://dev.azure.com/pandas-dev/pandas/_build/results?buildId=23715&view=logs&j=fd89438c-1fd3-5981-222e-115d06c89c2d)