When you try to add an account in the Windows 10 Mail Preview app, you have a few options in the Choose an account screen.
If you select the Exchange option (which lists Exchange and Office 365 compatibility – but none of the legacy free-email domains specifically) it will ask you for your address and take a while before responding with a prompt for your password.
Shortly after entering your password, the dialog box disappears.
After that, simply follow the same steps listed above – but instead of your normal password, use the app password.
After that, everything should work like a charm.