Codex expands a leading ~/ in config.toml paths on every platform but
does not expand %userprofile%. The Windows config generated by the Use
Key dialog wrote model_catalog_json = "%userprofile%\.codex\codex-models.json",
which Codex resolves relative to the config directory
(C:\Users\<user>\.codex\%userprofile%\.codex\codex-models.json), so it
fails to load the config with "The system cannot find the path
specified (os error 3)".
Always write ~/.codex/codex-models.json into config.toml. The download
hint still shows the Windows location to save the file.