The latest version is not the right one, at least for Win 11. A direct download from Dell works on Win 11, but the current choco version doesn't. It seems Dell has two versions, one for Win10+11 and another for Win10 and below.
Choco pulls this one:
Dell-Command-Update-Application_W4HP2_WIN_4.5.0_A00_02.EXE
For Win11, this one is needed:
Dell-Command-Update-Windows-Universal-Application_601KT_WIN_4.5.0_A00_01.EXE
According to 'fatherofsam' in Disqus comment: