I started the phone, put the pin in and triggered the upgrade.

After the upgrade completed there is an only an option to put in a email/password for icloud and there is no "skip" or "do later" button I could find.

I'm pretty derpy but I can tell you it is true.

Sounds like you picked up the SE used and it had an activation lock. One of the more annoying things Apple has done was to take down the page for checking that before purchase.

That or you put in an iCloud account at some point but it did not get removed successfully.

Nope, found it eventually.

iOS 14 merges the 'not now' from iOS 13 into a 'forgot my account or don't set up now'.