I tried Windows 11, it works for me. Both exe and Steam. However, the way Godot works, it's launched from the command line. So you will always see the console window for a brief moment. The editor setting just closes it after the engine has launched. I never see it when I test my projects or on the export. On Linux I was able to do something so the console doesn't show at all, but I can't remember what it was or if it works on Windows.