A SOLUTION (I did user setup and initial test firsthand)
Apple Support
** had me create a new Windows user (user B). (Regular user or administrator user level for user B.)
** lock the original user / administrator user (user A) or sign out the original user administrator user (user A).
** login to Windows as new user (user B).
** Microsoft Store then download iCloud.
** launch iCloud and sign-in with same existing Apple ID / iCloud user-credentials. (no “red x” issue so login works) However, no iCloud Drive link in Windows File Explorer listing so challenging to use. Apple does not know why no link.
To keep using user B, one would need to then setup all the rest of one’s existing Windows user (user A) stuff in the new Windows user (user B).
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change Apple password using this URL
appleid.apple.com (website support had me use)
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Apple cannot say what exactly what the issue is for user A nor what different between user A and user B. Apple does not support Windows.
(in November I spoke to Microsoft OS support and got nothing as they do not support Apple nor any third party app in the app store.)
Issue with iCLoud be a Windows setting, a VPN running, antivirus, etc.
Also when setting up this user B … warning I cannot say WHAT caused this issue in user A. Hence I cannot say do load / run this app or program or this VPN gets loaded with this product.