I was having issues connecting to my icloud email while using Outlook. Off my 5 email accounts, 4 worked, but the icloud on did not when I was using the mobile hot spot. After speaking with customer service for quite a while, there was still no solution. However, long story short, after fumbling around, I did end up solving the problem. I logged onto the device user interface online (hotspot.webui) and under the security option, clicked to allow email (Initially, only http and https were clicked to allow). That seemed to do the trick.
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