Hi,
No problem! I get why it's annoying being asked for a PIN you didn't even make. So, here's the deal:
Your Windows Hello PIN sticks to your device, not your Microsoft account. When it says, “Enter your PIN to set up a PIN,” it thinks you should already have one for that machine. If you haven't got one or forgot it, clicking I forgot my PIN should reset it. If that doesn't do the trick, you can just ditch the PIN altogether and start over.
Here's the simplest fix
Head to Settings > Accounts > Sign-in options.
Find PIN (Windows Hello) and hit Remove. If it asks for a PIN you don't know, click I forgot my PIN and prove it's your Microsoft account with your password.
After removing it, restart your computer and go back to Sign-in options to make a new PIN.
If the reset link is still being annoying, just use your password to log in—there should be an option that says Sign in with password on the login screen. Once you're in, you can create a brand new PIN.
I hope this helps.
Best Regards,
Noel