We now understand the issue on Windows following a Teams meeting with a couple of Adobe engineers this morning.
Lightroom Classic needs to interact with the camera as a WinUSB device. However, if you have Sony Imaging Edge installed, it will likely install a different driver for the camera that is incompatible with Lightroom Classic's tethering. The engineers believe there is a similar incompatible driver issue if you have Capture One installed.
If you connect the camera in PC Remote mode, open
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