That is expected. The current version on PyPI has wheels up to Python 3.10, so trying install on 3.8 will pick up the precompiled wheel. There isn’t a wheel that will work for 3.11 yet, so pip tries to install from source (which is currently broken for Windows because of the missing DLLs).
The impending set of new wheels for PyPI will use a special subset of the CPython API, which allows us to build a single wheel that is compatible with future versions of Python 3.x, rather than needing to build new ones each time a new Python version is released.
They have a fairly large number of dependencies, and some of those haven’t caught up to recent Python versions yet (see here). Sticking with 3.8 is probably least friction for now.