There are multiple issues reported on Github for this first launch issue when the local user folder has non-ascii character.
The underlying issue here seems to be related to how the app is handling reading userprofile file paths.
The codex_home environment variable workaround does work, but the app might still throw file path errors (like it did when prompting me to chose a project folder, trying to default to my desktop which was inside a folder with a non-ascii character.