CMake Error 'Operation not permitted' in new WSL Ubuntu session

Usage
1

We have just installed WSL Ubuntu 20.04 on Windows and installed CMake v.3.20.5. Our CMake project is known to work but we see:

CMake Error at /usr/local/share/cmake-3.20/Modules/CheckIncludeFile.cmake:57 (configure_file):
  Operation not permitted
Call Stack (most recent call first):
  /usr/local/share/cmake-3.20/Modules/FindThreads.cmake:146 (CHECK_INCLUDE_FILE)
  Kernel/CMakeLists.txt:80 (find_package)

where CMakeLists.txt:80 contains:

find_package(Threads REQUIRED)

The build-essential package is installed so pthreads should be there.

Any ideas what may be wrong please?