HyperTerminal is a telnet client (you also have another: telnet.exe)
with a GUI added (but really just a window instead of a command shell).
What you get in Windows is the highly crippled version. The full
version is $65 (
https://www.hilgraeve.com/hyperterminal/), but there are
plenty of free telnet clients even with GUIs.
Did you go to Add/Remove Programs, select Windows components, and add
Hyperterm from there? Or did you get an installer file somewhere, like
for the Private Edition, and install that? I don't remember what you
mention happening with the Windows-bundled highly crippled version, but
suspect the Private Edition wants you to give some telemetry
information, so they know where it's being used.
Hard to remember way back when I used Hyperterm, but suspect a lot of
the telephone info it wanted came from Windows. For example, you could
specify your area code. Then you didn't have to specify it, and could
use 7-digit numbers which would use your default area code. Those were
dial-up properties.
I don't remember if Hyperterm used the dial-up properties configured for
the device in the OS:
https://flylib.com/books/2/166/1/html/2/images/0789732807/graphics/08fig08.jpg
Or if it maintained its own dial-up properties:
https://www.hilgraeve.com/hyperterminal-modem/
Remember that Hyperterm was developed back when 7-digit dialog was the
norm. However, by entering default area code, it could make a
reasonable guess if 10-digit dialing was needed. Nowadays you can't do
7-digit dialing without getting an error message from the telco carrier
saying you dialed an invalid number.
Since it appears the Hyperterminal you have is the ancient version that
relied on dial-up modems, seems normal it wants to configure the dial-up
properties for it.
The newer payware Hyperterminal does Ethernet (LAN, TCP/IP), but I
thought the ancient crippled version only did dial-up. Yeah, you don't
have a modem, but specifying the COM port probably has old Hyperterminal
assume a dial-up modem is connected to that COM port.