@David-Polášek OK I figured it out. There are two ways of adding a Widget. The first one is by clicking Customize and then select the Windy widget. That one leads to the message I posted about. Clicking the + symbol to the upper left leads to a search box that allows you to add a widget as well. That way it works.
Maybe add instructions for how to add the correct widget? I don't use widgets often and I didn't notice that + symbol at first.