TL;DR

Instead of ~/.config/hcloud/cli.toml (C:\Users\<USERID>\.hcloud\cli.toml) as shown in --help, hcloud actually expects it in C:\Users\<USERID>\AppData\Roaming\hcloud\cli.toml.
hcloud context create returns an error.

Expected behavior

On Windows hcloud context create creates a folder .hcloud in C:\Users\<USERID>\ and stores cli.toml.

Observed behavior

hcloud context create returns an error:
hcloud: open C:\Users\<USERID>\AppData\Roaming\hcloud\cli.toml: The system cannot find the path specified.

Minimal working example

hcloud context create test

Log output

hcloud: open C:\Users\<USERID>\AppData\Roaming\hcloud\cli.toml: The system cannot find the path specified.

Additional information

No response