To use Visual COBOL Build Tools for Windows to build .NET projects you must use Microsoft's Build Tools for Visual Studio 2019 rather than the Build Tools for Visual Studio 2017 that is supplied with Visual COBOL Build Tools for Windows. After downloading and installing Microsoft's Build Tools for Visual Studio 2019 you need to run the Microsoft Build Tools and Windows SDK Packages configuration utility - cblms - to configure Visual COBOL Build Tools for Windows so that it uses it.
For more information on the cblms utility see Managing the Microsoft Build Tools and Windows SDK Packages. See Microsoft Visual Studio Downloads to download Microsoft's Build Tools for Visual Studio 2019.