This can occur because of a buglet in iCloud Drive. The bug consists of 2 parts:
When you move/rename a folder within the iCloud Drive hierarchy, iCloud thinks you are removing it and pops up a dialog warning you that the folder and its contained files will be deleted from iCloud and all devices. This would be true if you were truly removing the folder from the iCloud hierarchy, but is not true if you're renaming the folder or moving it within the iCloud hierarchy.
The warning dialog pops up UNDER the Windows Explorer window in which you initiated the operation, and that Windows Explorer window becomes unresponsive and cannot be moved. Eventually, the rename times out waiting for you to respond (to a dialog you can't see)
The workaround is to click a few times on the frozen window to force Windows to recognize it as unresponsive. After that you CAN move the window out of the way and click OK in the dialog.
I have also posted this in the Apple Community forum for iCloud Drive.