Hello Nick @nick1231 
welcome to DevKinsta community!
I’ve just tried to reproduce this on my Windows machine (Windows 10 pro though as I don’t have Windows 11) with DevKinsta 2.9.0 and Docker Desktop 4.15.0 and could create a new local WordPress site just fine (see screenshots below) :
I suspect that “WordPress site setup failed DK0021” error seems to be a local issue on your Windows 11 machine perhaps (could be due to corrupted WordPress .zip file that has been downloaded to your local machine, or could be due to something with your system or network that might be blocking the cURL request from DevKinsta to download WordPress.).
Can you please try to remove/delete everything under this sub-folder on your local Windows 11 machine (something like this):
C:\Users\yourusername\DevKinsta\wp\
(replace the yourusername with your actual local Windows user account)
After that, close your DevKinsta and re-open it and see if you can then create a new WP site with it (if DevKinsta is able to download the WP zip file properly) ?
If DevKinsta still unable to get the WordPress zip file from the source (via cURL), then most likely something with your local network/system/firewall that may be preventing the cURL requests. And if that’s the case, you may want to add the WordPress files manually as also mentioned in the other thread here and here as well (which seems to be working as a solution, and see if this same method will help you).
Hopefully that will help and please let us know the results! 
Cheers,
Agus