Here are some screenshots of what I get when I try to set up the account that has neither POP or IMAP permissions set, and if I try to use EWS (which I expected to fail):
View attachment 18268
If I stick with the above, without editing the configuration, and try logging in, this is the error dialog:
View attachment 18269
If I hit the Edit Configuration:
View attachment 18271
And the failure:
View attachment 18272
So, after all this, I'm convinced that there is no way to set up a free outlook.com account using Exchange in Thunderbird. I don't have one in a tenant anywhere to play with.