I tried pasting it into a batch file and
it seems to work.  Obviously appveyor is
doing something subtly different, but it
isn't exactly clear what.  It seems like it's
getting one extra round of evaluation, somehow.

This is why I had hoped that someone else had already generated user-config.jam 
files in appveyor.yml files, so I could simply learn from that experience, 
rather than stumbling around in the dark as I do now.

  You can avoid using user-config.jam for this
by setting the environmental variables,
ZLIB_INCLUDE/ZLIB_LIBRARY_PATH (and similar
variables for the other libraries).  It will
probably also work if you use
b2 ... include=%VCPKG%\include library-path=%VCPKG%\lib
although I don't think I've actually tested this.

-- 

      ...ich hab' noch einen Koffer in Berlin...