It is possible to set up iCloud email on Windows Mail. To do so, open Mail and select Add Account, then select iCloud. Enter your Apple ID email address, name, and password, then select Sign in. To ensure the account is properly set up, a user may need to generate an app-specific password to sign into the app, which can be saved in Windows Mail.
Additionally, users may need to activate the app by going to File - Help - Activate and entering the required information to get a code, which can then be pasted back into the app.
A user on a Windows 10 Surface Book is having trouble getting their iCloud email to work in the Mail app. After spending several hours of trouble, they were able to fix the issue by creating an app-specific password to sign into the app, which was then saved in Windows Mail. If the user changes their primary Apple ID password, all app-specific passwords will be automatically revoked and they will need to generate a new one for any apps they want to keep using.
Windows 10 mail app: Your iCloud settings are out-of-date - Microsoft Community