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I suspect that AppData is rather large and Telescope needs time to index it. Since it is asynchronous you could have the wrong impression that it is not doing. Do you have the same behavior for a small AppData subfolder?
Telescope is indexing the files under the current working directory. To make sure :Telescope find_files shows you the file of ~\AppData you have first to change the working directory:
:Telescope find_files.~\AppData\Local\nvim?