OK, found the issue. We are rolling out an update to build worker images and there is latest Git 2.12.0 installed.
Previous versions of Git had curl.exe in C:\Program Files\Git\usr\bin folder which is added in PATH on build workers. The main reason it was on PATH was ssh.exe utility Git (and Mercurial) required to fetch repo via SSH.
Now, curl.exe has gone from C:\Program Files\Git\usr\bin and left in C:\Program Files\Git\mingw64\bin only. To fix the build add this to your appveyor.yml:
- set PATH=C:\Program Files\Git\mingw64\bin;%PATH%
I don't know whether we should explicitly add C:\Program Files\Git\mingw64\bin folder into PATH on build workers or not - there is always a risk of causing another conflict. Less stuff on PATH is better.