The UI isn’t very helpful here, sorry about that (this is tracked in ocaml/opam#5745).
What happens here is that opam is already initialized from your previous installation and the current switch is either empty or broken.
You can fix this by removing your C:\Users\<user>\AppData\Local\opam directory, then calling opam init again which should work and should create a new default switch with the latest ocaml compiler.