@tinkerwolf This is weird... I've reinstalled my PC from scratch with an initial account set as local, and was able to set up GPG4Win perfectly fine for the first time on my PC (as I did in the VM). So, set up a VM with an initial account set up from an online account. GPG4Win started up fine... I am now really confused!! Somewhere within the getting set up with an online account, something has to be happening that interferes with dirmngr..
Will investigate further.

I'm having the same issue. I read somewhere that it's likely caused by using an online Windows account to login with. So I converted to local log in. Issue persists. As a test, I've just set up a VM with a local account set up at install, and GPG4Win works perfectly fine. So I'm guessing that there may be an issue which stays in the files system caused by online account users. I'm not a programmer and have no idea how or where to look to see what's causing it and how to fix it though.