Today I wanted to add my iCloud calendar to the Windows 10 calendar app and everything I tried failed until I remembered that I use two factor authentication and that I might need an app password (like with so many other services like Google or FastMail) instead of my normal Apple password - even though the calendar app never said that my credentials were wrong.
So I looked on icloud.com to generate an app password. Nothing there. Turns out, to create an app password you need to go to https://appleid.apple.com/ and locate the Security section there to “Generate Password”. Then you can use that password in the Windows 10 calendar app and everything should be working. 👍