Do I have to have app specific passwords

What are you trying to set iCloud email on exactly?

You would only need App specific passwords if you are accessing the iCloud resources from non Apple apps or devices.

App specific passwords are set after your Apple ID has been set up to use Two-Factor Authentication. They are completely independent to your actual Apple ID password.

Changing your Apple ID passwords has no effect on the App specific passwords.

If you have not done so, you need to turn on Two-Factor Authentication: Two-factor authentication for Apple ID - Apple Support

Then setup App specific passwords: Using app-specific passwords - Apple Support

Yes I just did iCloud mail set up on Windows 10

You have to enable 2 factor ID in your Apple ID management.

While there go to GENERATE APP SPECIFIC PASSWORD.

COPY that password then PASTE when prompted for password during iCloud mail set up in Windows.

DO NOT use your regular iCloud mail password

It's been fine for me since I did it this way.