What name did you use? Maybe try again with a different, very simple name because there is no obvious reason for the problem. It is tested and used by many people on Windows.
I found the problem.
I suspect that the windows user I was trying to operate shotcut on has some file (that shotcut is trying to find or use) with non ascii symbols that shotcut doesn’t support.
I have no idea what file this is, or how to solve it, but switching switching to a user that was created with an ascii name seems to work.
This is an interesting limitation! On Linux (I’m on Debian), paths with UTF-8 characters work without issue. My desktop uses Kannada names, so projects get stored in ~/ವಿಡಿಯೋಗಳು/Shotcut.