I was hesitant to accept this was not possible, but it's just not supported and doesn't work.
I too had the same issues on my PC using W7 + WLM2011: not able to send iCloud mail from WLM2011. Following the instructions for Vista + Live Mail doesn't get things working. When using the iCloud Mail server information on the page mentioned above gave me no succes either.
530 5.7.0 No AUTH command has been given. 0x800CCC78
After a chat with Apple support, the following solution was resolved:
Apple support told me WLM2011 is not supported. Neither is Thunderbird. So much for IMAP and iCloud mail. In practice, it simply is not supported.