You can have issues – but the best way is to use an 8GB USB drive.
The next step is to let the wizard build the USB drive and copy the apple software to the device.
But don’t let it do the install, just yet.
Instead, leave that unchecked.
Once it’s done, download this:
Extract that then copy it to USB stick and overwrite.
THEN fire up the bootcamp wizard again and tell it to use the USB drive and do the install.
This is because of the digital signing of some of the files. Windows won’t like them, and if you try and disable signature checking it’ll BSOD.