I recently had some trouble adding my iCloud account to the Windows 10 Email & app accounts. The reason for that: I had 2-factor security enabled on my iCloud account. It is not possibly to directly connect an iCloud account with the account password to Windows 10 if 2-factor authentication is enabled.
There is, however, an easy (and secure) workaround for that: You can create app-specific passwords for exactly this use-case.
First, log in to your Apple ID on the apple homepage at https://appleid.apple.com/account/manage .
Then scroll down to the 'Security' section and click on 'Edit'.
In the 'App-Specific Passwords' section click on 'Generate Password...'.
Then you are prompted to enter a label for this password. I chose 'Win10 for [ComputerName]',
after that hit 'Create'.
An app-specific password will be generated and displayed to you. Copy that password (this is case-sensitive, so take care when typing it), and use that in the Windows 'Email & app account' settings app to connect your iCloud account to Windows 10.
You have full control over the app-specific passwords and if you think something is not okay, you can simply go back to the security settings and revoke these app-specific passwords as you see the need.
Important: If you change your primary Apple ID password, all app-specific passwords will be invalidated at once and you need to regenerate new ones for your devices / apps.