I have just installed it successfully on Windows 10 2004 by running the command prompt as an administrator, navigating to the DVD drive and running the setup. No Windows SDK required.
Sorry, if this is already common knowledge, but I thought this could be worth mentioning, as many more people could enjoy this game without much hassle, yet this "solution" wasn't mentioned anywhere. (It could be added to https://www.pcgamingwiki.com/wiki/Clive_Barker%27s_Jericho#Can.27t_launch_the_game.27s_installation_.28blocked_by_Windows_10.29 after verification.)
PS: Feel free to put this information in a better place and delete this afterwards. I don't care about attribution (hence the anonymity).