Thanks all, I am not quite sure why it won't connect on my PC except that I am on a Windows 11 preview. I plugged it into my kid's machine and it worked just fine.
For those unaware, when you update the firmware, the file typically just goes onto the SD card and thus, you can pull the card, copy the firmware to it and then put the card back into your radio. But there are other files that get updated less often that need to go to an internal drive on the radio, which cannot be updated unless the radio is plugged in. When it's plugged in two drives show up, the internal one and the external SD card.
The other problem I have with both my X9D 2019 and the X20S are that the USB charging blows the drivers on my Surface Book's USB port so I generally had to go through the USB on the power adapter. I have worked around this issue on the X20S by fully charging the unit first, then it won't blow the USB.