What package managers are supported on Microsoft hosted agents with CMake enabled?
According to this page, the hosted agent supports NuGet, npm, and Maven.

It looks like it might also support pip.
You could install cget using pip and then use cget to install your package. A bit of a roundabout way, but it might do what you need.

"C:\Program Files\Python36\Scripts\pip" install cget
cget install nlohmann/json


I don't have a way to test this right now, but I will try some real examples and edit tomorrow if I have time.

Since it is a CMake/Git project, you could also just clone the repository (or add it as a submodule) and build it every time. Since I often use libraries that aren't managed, I tend to take this route and leverage the caching that many CI platforms offer to keep my build times low. Sadly, it looks like VSTS hasn't gotten to this yet.