Had the same issue, bootcamp in 15" tbMBP 2016 can connect to 802.11n/ac 5GHz wifi, but does not connect to 802.11g 2.4GHz wifi whatsoever. Too bad that iPhone personal hotspot is a 2.4GHz network, it means you can't tether an iPhone with windows bootcamp.
After reading this post I felt the issue could be with interference between the broadcom card's wifi and bluetooth part.
then I came across this post and the solution actually worked like magic:
Re: Wireless (Bootcamp) and Bluetooth (MX Anywhere 2) issues on MacBook Pro 13' 2016 w/TB
In short:
Type "device manager" in your search thingy in Windows taskbar and open it
Open "network adapters" dropdown menu
Double click your Broadcom 802.11
Click "advanced"
Select "Bluetooth Collaboration"
Change value to "Disabled"
Note: the method above was meant to fix bluetooth connection issue with tbMBP. However it fixed the wifi issue as well.
Turning off bluetooth collaboration did not disable bluetooth. I can use 2.4GHz wifi and my airpods at the same time with no issues.