I was able to dig up an old iPad Mini and was able to make this work.
I do not know the reason (same Cortana App version as iPhone), but the highest available iOS version for the iPad Min I have is 12.4.9 vs 14.2 on my phone.
There was a difference in setup, as the iPad Mini was able to start the iOS Airport (Wi-Fi) Accessory setup routines and those are not running on the iPhone (Fails before this step). As there is also failure on Windows, I am not sure if the failure is specifically in iOS or on the MS end.