The Go standard library has a different way of loading the time zone database on Windows, and in general it will fall back to a copy of the database embedded in the binary. I assume you’re using the Temporal cli, not a released server? We didn’t build the cli with the embedded database. I’ll fix that for future releases.
In the meantime, you can download this zip file:
go/lib/time/zoneinfo.zip at master · golang/go · GitHub
and set the environment variable ZONEINFO to point to it.