[2021] HOI4 Launcher red triangle - 'Launching the game failed'.

First thing I see is Windows 10 is not completely up to date. Run the Update app and look for a new Win10 version - not a patch or update but a whole new version. Apply that and reboot, run Update, apply everything it finds reboot - please keep doing that until fully up to date.

SamSpam said: Have allowed bootstrapper-v2.exe, Paradox Launcher, HOI4.exe on Windows Defender Firewall.

The firewall can never prevent our games from starting. Rather these files need to be added to the WD Ransomware "Apps Allowed Through" list, unles you use some other AV app in which case to its exceptions lists.