This happened for me because outlook only had IMAP accounts, and the contacts/calendars/tasks were the "Contacts (This PC only)" style of folders.
Apple needs to fix their wizard to use those folders as the source of outlook data to load into it's merge and sync logic. Or even better instead of assuming which contacts/calendars/tasks folder and strewing things up have an advanced button that will prompt user to select what folder(s) to use from outlook.
To work around is problem:
Create new empty .pst file
Set it as default data file (File | Account Settings | Data Files Tab | Set as default on new local .pst file)
Close and reopen outlook to make sure it's default data file/moves everything
Re-run iCloud Control panel outlook setup wizard.