iCloud mail

You need to enable 2 Factor Authentication on your Apple ID and create an app specific password to use. If your account won’t allow 2 Factor Authentication, try 2 step verification.

Apple ID -Two-factor authentication          

 Two Factor Authentification availability.     

 Apple ID - Using app-specific passwords.     

Apple ID - Two Step Verifications FAQ    

You need to use an app specific password when setting up the iCloud email account on the phone.