Problem importing Sage library in Python script on Windows

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I'm not sure what you mean exactly by "using Sage in a Python script". You didn't really provide any details.

Sage has always traditionally included its own Python interpreter, and so using Sage meant you'd have to run the Python interpreter that comes with Sage (if you're at all familiar with conda as you say, this is a little like having its own conda environment). The folks who've packaged Sage for conda make that a little more transparent, since you can now install sage directly in a conda environment. But either way it's effectively similar.

What do I need to do with the installation to get my python script to find Sage?

You will need to run it with the Python interpreter that comes with Sage. If you have additional dependencies, as I wrote, this is a complete Python environment so you can pip install them using Sage's Python.

As an aside, is there a reason why there is no conda package for Sage on Windows, only Linux and MacOS?

Because Sage on Windows depends on Cygwin, and there is no official Cygwin target for conda. There could be, and it's something I would like there to be, but it would be a large effort for which there is currently no support.

But it seems completely incompatible for integration with other languages/tools.

Not necessarily but it is a little tricky. Search this site for other questions like this one where I explain how to use Sage in PyCharm--again it's not all that different from using a virtualenv; still just a little trickier. If you have any good ideas for how to make this easier I'm all for it.

When I looked at the log for that, it seems like there was a connection issue and the source could not be downloaded.

I noticed also there were some problems with some connection problems with some of the mirrors yesterday. Try just running make again and the build should resume where it left off. If you followed the instructions here it should work.

Sage is a complex beast: Its large set of non-standard and/or tightly-pinned dependencies makes it non-trivial to install and use compared to a normal Python package. People have been working hard for years to make that easier (see, again, your success with conda) but this is not easy. You're welcome to lend a hand if you have any insights.