I believe the answer is here: Cmdstanr with Rtools 4.0 on Windows 10: mingw32-make.exe missing? - #7 by rok_cesnovar
but it should be featured more prominently somewhere in the CmdStanR vignettes - perhaps a “troubleshooting the installation” section?
this has also been a pain point for CmdStanPy users on Windows - we’re working on a better solution that doesn’t require following instructions and checking screenshots.