The VM images used by the Azure Pipelines for VS2015 (not VS2017) are missing Python.
In order to work around this, I added a step to the CI build that downloads and installs Python on the build bot (ICU-20281).
Though it seems that the Python installer's "PrependPath" option doesn't actually work on the build machine. This isn't technically a problem though, since the data build scripts explicitly use the Python launcher with py -3.
However, we should likely fix the build bot yml config file so that python is correctly added to the path.
(And also take this opportunity to update the version of the Python installer too, since 3.7.2 is now out.).