Hi bailier, I am having the same issue and it would be great to get some advise on fixing this.
iCloud for Windows is for syncing the the Apple calendar to Microsoft Outlook. This works fine for the most as the add-in crashes very often in Outlook. Anyways I am not here for this.
In Windows 10 there is a Calendar app - https://www.microsoft.com/en-us/p/mail-and-calendar/9wzdncrfhvqm
This application has an option to add iCloud account and specifically mentions that iCloud should have 2FA setup and generate an app password. I have created an app password, however I still get "Attention Required' error.
From a little research I understand that for the Calendar app you do not need the iCloud for Windows.