Backport PR #29010: Setuptools CI fixup (#29015)

ci/setup_env.sh

@@ -55,6 +55,7 @@ echo
 echo "update conda"
 conda config --set ssl_verify false
 conda config --set quiet true --set always_yes true --set changeps1 false
+conda install pip  # create conda to create a historical artifact for pip & setuptools
 conda update -n base conda
 
 echo "conda info -a"