I suspect that any upgrade step will solely involve changing instances of

echo "c:\rtools40\ucrt64\bin;" >> $env:GITHUB_PATH

to

echo "c:\rtools43\ucrt64\bin;" >> $env:GITHUB_PATH

Merging because changes straightforward and it keeps CI going.

Would this affect testing with fortran on windows?

Not quite sure what the question is asking. The majority of the windows CI infra uses rtools to supply pkg-config, gcc, gfortran. The jobs started failing because the choco update meant rtools was in a different location, meaning that the build tools weren't found. This PR pins the version of rtools, so the tools that were working can be found again.
I am not sure if the new rtools package uses different versions of gcc/gfortran.

I was asking because we have started getting CI failures involving Fortran when running full tests on Windows 32 bit, see numpy/numpy#23675. I was wondering if there could be a connection.

I think there will be a connection. The azure job installs rtools. Rtools43 is now the default on choco and that will be installed in a different location. I suspect you need to pin the version.

@andyfaff Just for your information, it turns out that rtools dropped support for 32 bit builds in version 4.2.