This is patch will fix the issue:
https://go-review.googlesource.com/#/c/11316/

CL https://golang.org/cl/11316 mentions this issue.

Leaving this here for anyone else who comes across this issue.

I had to set this in system.env:

GO15VENDOREXPERIMENT=1

Commenting that line and saving system.env however produces this output:

C:/Go/bin/go.exe env [C:\Go]
set GOARCH=amd64
set GOBIN=
set GOEXE=.exe
set GOHOSTARCH=amd64
set GOHOSTOS=windows
set GOOS=windows
set GOPATH=c:\work\code\go
set GORACE=
set GOROOT=C:\Go
set GOTOOLDIR=C:\Go\pkg\tool\windows_amd64
set GO15VENDOREXPERIMENT=1
set CC=gcc
set GOGCCFLAGS=-m64 -mthreads -fmessage-length=0
set CXX=g++
set CGO_ENABLED=1
Command exited with code 0.

Notice that
set GO15VENDOREXPERIMENT=1
is still set.

You have to change the line in system.env:

GO15VENDOREXPERIMENT=0

This fixes the problem for me on Windows 10.