I already have a Microsoft account that I've been using for some months with OneDrive. When I start Cortana it requires me to log into that account. I do so, but then it pops up a screen telling me to "Enter your old password one last time", and then "From here on out, you'll unlock this device using the password or PIN you just set up. Before we can say goodbye to your local password, you need to provide it one last time." It then gives me another password box and says "(leave blank if none)".
But it won't let me leave it blank, and when I re-enter my Microsoft account password, it tells me its incorrect...even though it works fine with OneDrive. I have no idea what PIN it refers to, nor what it is trying to accomplish...but it has stopped me trying out Cortana.