Where does the problem appear specifically? During cmake or while you load janus? Do you notice it on msys2?
When I invoke test_installation under msys2, I usually have to prepend PYTHONHOME=/ucrt64 before I invoke swipl. That may be related to the behavior you describe.
EDIT: That is now obsolete. Since 10.0.1, PYTHONHOME does not seem to be necessary anymore. [maybe I just misconfigured my system]