In the latest Windows 11 preview build, Microsoft removed the “bypassnro” command, which let users skip signing into a Microsoft Account when installing Windows.
It is insecure to create one account with username and password during the setup process.
The password should always come from your password manager. But you would not have access to your password manager during the installation process.
Your new account will be online. Can access OneDrive and everything Microsoft Online offers. That means anyone with internet access can try to login to it so it has to be very secure.
Windows Hello can be used for local login. But I agree with you. I would love to be able to access my Keepassxc vault during the login process. But that might be hard to archive so better to use Windows Hello.