It sounds like a permissions issue on your computer's filesystem. I
was able to reproduce the problem as you described it by navigating
(in explorer) to my Sage installation directory, in my case
"C:\Users\Erik M. Bray\AppData\Local\SageMath 8.7", and manually
changing the permissions on "runtime\bin\bash.exe" so that I could not
read or execute the file. That produced the same results.
It's possible that whatever directory you installed Sage to has its
permissions inherited, possibly from a parent directory, that is
screwing up permissions on the executables in your Sage installation.
I would suggest uninstalling, checking that the ACLs (access control
lists) on the path you're installing to look sane (see e.g.
https://www.pcworld.com/article/3151045/how-to-reclaim-file-permissions-and-ownership-in-windows.html)
and reinstalling.