Test convert_sidre_protocol on Windows

[rhornung67]

This issue is an update of #355, which was mostly resolved....

Ensure that the convert_sidre_protocol example builds on Windows. Relevant comment from @white238 #355 (comment)

Also, w.r.t. MFEMSidreDataCollection, comment from @joshessman-llnl #355 (comment)

[kennyweiss]

I don't think we're planning to do this one until there's an actual need.

The last time I looked into it, convert_sidre_protocol requires an mpi-enabled mfem, which required Fortran for its hypre dependency, and I had trouble getting Fortran to work through our vcpkg setup. I'm sure it's doable, but I'd rate it as pretty low priority for now.

At a team meeting on 6/30/2025, we decided to close this one for now.