Drop RcppEigen dependency, implement basic Eigen -> C++ interop #1699

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Job	Run time
macOS-latest (devel)	43m 43s
macOS-latest (release)	44m 40s
windows-latest (devel)	1h 27m 34s
windows-latest (release)	1h 28m 0s
windows-latest (oldrel)	1h 31m 31s
ubuntu-20.04 (devel)	1h 7m 51s
ubuntu-20.04 (release)	1h 3m 50s
ubuntu-20.04 (oldrel)	1h 4m 40s
ubuntu-20.04 (3.6)	1h 3m 50s
	10h 15m 39s