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I think I have the same issue with the release 1.5 and Python 3.9.7/Windows (64 bit) not working on KDB 4.0 2021.07.12 (64 bit).
I manually installed embedPy_windows-1.5.0 release by copying p.q and p.k to c:\q and copying q.dll to c:\q\w64. I am not using Anaconda Python.
Currently embedPy does not operate within Python 3.9 anaconda build environments
As indicated here for Python 3.8 https://docs.python.org/3/whatsnew/3.8.html#debug-build-uses-the-same-abi-as-release-build the issue is likely due to libpython not being shipped with conda.
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