Hi Patrick,
I don't know why the exe cannot connect to the board.
This is the process to succeed (I just reproduce it and it woks fine) :
- Install ST Link Virtual port COM driver
- Connect your NUCLEO-F401RE board to your PC (USB port)
- Check Device is wll conncted (as you did seems ok)
- NODE_F401RE (virtual disk) appears in Computer Disks list

- Download X-CUBE-NFC04A firmware and UnZip it
Now, you need to Upload a specific firmware to be able to manage USB connection and drive ST25DV-I2C tags through I2C bus in your NUCLEO board :
- Open X-CUBE-NFC04A package
- Go to : STM32CubeExpansion_NFC4_V1.2.0/Projects/Multi/Examples/Serial-USB_PCSoftware/Binary/
- Choose STM32F401RE-Nucleo.bin file, then Drag and Drop it to NODE-F401RA virtual disk

Leds are blinding to indicate that the firmware is loading
Now you should start X-NUCLEO-NFC_software.exe software and be able to detect the board.

I hope this will help,
Best regards
NFC/RFID Customer Support