I have the same issue on a Surface Pro 4. I've been trying for 2 days now to get iCloud to work with Outlook. The error message I get is "Setup can't continue because Outlook isn't configure to have a default profile. Check your Outlook settings and try again".
I've done a Windows 10 factory reset, deleted the standard Outlook and other Office Apps that come with Windows 10 and I've installed Outlook using my Office 365 account (and set it up with a profile).
I've followed the advice of other users that came across this known issue, but I still haven't been able to resolve this. Come on Microsoft and Apple, you're the ones with the technical expertise, users shouldn't have to deal with these sorts of issues today.
It used to work last year, before I had to do a Windows 10 factory reset.