The window jsut bombs out - so I tried just running it at the command line:
C:\sqlcl-21.2\sqlcl\bin>dir
Directory of C:\sqlcl-21.2\sqlcl\bin
02/07/2021 09:35 <DIR> .
02/07/2021 09:35 <DIR> ..
02/07/2021 09:35 1,021 dependencies.txt
02/07/2021 09:35 5,744 license.txt
02/07/2021 09:35 419 README.md
02/07/2021 09:35 20,765 sql
02/07/2021 09:35 139,776 sql.exe
02/07/2021 09:35 119 version.txt
6 File(s) 167,844 bytes
2 Dir(s) 94,426,374,144 bytes free
C:\sqlcl-21.2\sqlcl\bin>sql.exe
Error occurred during initialization of VM
Could not reserve enough space for 2097152KB object heap
I have lots of spare ram, running java 1.8.252