Since commit 0a0a0f8a (cmMessenger: Color messages to terminal by
type, 2021-05-18, v3.21.0-rc1~146^2) the message output no longer goes
through our custom streambuf on Windows that converts output encoding.
This can cause messages to be printed with the wrong encoding in a
Windows Console.  It also causes messages to have a mix of LF and CRLF
newlines because `stderr` converts LF to CRLF but our custom streambuf
does not.

Revert to using just `cerr` for messages on Windows.  Another approach
will be needed to achieve color output on Windows later.

Fixes: #22444