I solved this issue, and a similar one (org-roam cannot find executable sqlite3) by downloading manually the binary of SQLite for Windows.
Download, unzip, and put the executable at a location known by Windows PATH (or set its location in the PATH variable, in the Environment Variables). Reload Emacs, and it works!
It depends on what you're trying to implement. sql-sqlite is a function that you would use if you want to interactively send commands to a sqlite process. This is what you want if you're writing some code that uses SQL and you want a REPL where you can test your queries.
On the other hand if you're writing an emacs mode that stores data in a database then ...