Compile and test C++ package

Merge pull request #508 from tonybaloney/dependabot/github_actions/ac… #1893

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Run time

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Job	Run time
build-linux (3.10, 7.0.100)	41m 57s
build-macos-11 (3.10, 7.0.100)	42m 12s
build-windows (3.10, 7.0.100)	42m 58s
	2h 7m 7s