Because it (Windows 11) is a private zone. Make it a public one and the problem is solved.
EDIT: If you mean the Nucleus is not offered as an audio zone then this is likely while required network traffic is blocked. Please check and configure if necessary your Windows firewall:
Nothing that is offered from Roon Labs AFAIK, so asking about it in here in Support is the wrong place. Right place is Tinkering, there you can find: