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Cleanup build warnings on Windows #786

Description

@rok-cesnovar

Description and reproducible steps:

On mingw32-make build on Windows you see the warnings shown below. The build continues as normal but those should be cleaned up. I imagine they are confusing to the users.

Example:

File not found - *cvodes*.hpp
File not found - *idas*.hpp
File not found - *kinsol*.hpp
File not found - *_inst.cpp
File not found - *_def.cpp
INFO: Could not find files for the given pattern(s).
File not found - *.hpp
g++ -std=c++1y -m64 -D_REENTRANT -Wall -Wno-unused-function -Wno-uninitialized -Wno-unused-but-set-variable -Wno-unused-variable -Wno-sign-compare -Wno-unused-local-typedefs      -I stan/lib/stan_math/lib/tbb_2019_U8/include -O3 -I src -I stan/src -I lib/rapidjson_1.1.0/ -I stan/lib/stan_math/ -I stan/lib/stan_math/lib/eigen_3.3.3 -I stan/lib/stan_math/lib/boost_1.69.0 -I stan/lib/stan_math/lib/sundials_4.1.0/include  -D_USE_MATH_DEFINES  -DBOOST_DISABLE_ASSERTS      -c -MT src/cmdstan/stanc.o -M -E -MG -MP -MF src/cmdstan/stanc.d src/cmdstan/stanc.cpp
File not found - *cvodes*.hpp
File not found - *idas*.hpp
File not found - *kinsol*.hpp
File not found - *_inst.cpp
File not found - *_def.cpp
INFO: Could not find files for the given pattern(s).
File not found - *.hpp

Expected Output:

No such warnings

Current Version:

v2.21.0

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