astropy: config folder/file not found

On a Windows 10 computer, when I issue the command from astropy.config import get_config_dir, I get the following error:

C:\ProgramData\Anaconda3\envs\py38\lib\site-packages\astropy\config\configuration.py:557:
ConfigurationMissingWarning: Configuration defaults will be used due to FileNotFoundError:2 on
None warn(ConfigurationMissingWarning(msg))

But, I have set XDG_CONFIG_HOME=C:\Users<USERID>.astropy\config, where USERID is my user ID, and there is a valid configuration file in that folder.