Relatively easy. I gave you an example, that has several dozens of dependencies, with several different build systems, of which not all of them support building with VS.
And that's targeting py3. For py2, you would need to build with VS2008, which some packages flat out refuse (for example, icu wants at least VS2010).
How many of them don't support MSVC due to requiring features that MSVC can't handle (like inline assembly or Fortran), vs not wanting to deal with build system contortions?
Honestly, I have no idea about the current status. Last time I tried, it was some two years ago and it was a major PITA. Since then, when I need newer versions, I just use either Linux or Mac.
And that's targeting py3. For py2, you would need to build with VS2008, which some packages flat out refuse (for example, icu wants at least VS2010).