Thank you Bas and Steve for your quick responses.
My mouse came with my Microsoft Ergonomic Desktop kit. Hence, it is a Microsoft mouse.
I am on Windows 11 released version, having updated from Windows 10 with Start11 installed. It is the Start11 preview version, which I expect to be fully functional. I am using Start11.1 in Windows 10 mode.
Bas, what you show are the install defaults and those are still set as you show, I did not change them. Please note that in that control window there is no specific option for a Windows button on a mouse.
Of course, I have tried rebooting already.
All to no avail.