iCloud Windows 11 Classic Outlook

I am disgusted with New Outlook, so I downloaded Classic Outlook. The one problem is I can't seem to get my iCloud Calendar and Contacts to sync with it. I open the iCloud App on my PC. iCloud Photos is turned On. But for Calendars and Contacts, it says Off. If I click on the right arrow and toggle it to On and click on Done, it goes back to the first screen and turns it back to Off. Under the words Calendars and Contacts, it says Not Set Up.

The snippet below is from my iCloud App on my PC that I am referring to.

Calendars and Contacts is syncing with New Outook (The only plus of New Outlook, so far.) What am I not doing or what do I need to do to get that toggle to stay On? Or what is Not Set Up and how do I set it up?

Thank you.