I've never found any compelling reason to set up Windows 11 (or 10) with an online account. Things like this just reinforce my decision to stick with a local account.
It's extremely obnoxious that they've made it this difficult.
Don't connect to the internet -> Shift + F10 to bring up CLI -> OOBE\bypassnro
The out-of-box experience will restart, and you will have a button to set up with a local account.
You can also (or at least could, it's been a bit since I've tried this method) use a banned e-mail account when it asks for your Microsoft account.
[1] - https://rufus.ie/en/