I think I got it to work! It looks like there is a bug in the code which makes it not fully respect the opencl_disable_drivers_blacklist=TRUE config parameter. And also I had to delete already registered configurations for my devices from the darktablerc file under the names cldevice_v4_intelririsrxegraphics etc. Then, re-run the darktable-cltest.exe two times for it to compile the kernel modules for my GPU. And now OpenCL works 
More detailed solution:
How to fix the issue with OpenCL not working on Windows with an Intel integrated graphics:
(As of Darktable version 4.0)
- Go to C:\Users<Username>\AppData\Local\darktable
- Open the
darktablercfile. Search for already configured CL devices: these will have config keys starting withcldevice_ - Delete all the lines starting with
cldevice_to essentially delete already configured devices for OpenCL. - Check if there is a already a line starting with
opencl_disable_drivers_blacklist=. If so, addTRUEat the end or else, add a new line withopencl_disable_drivers_blacklist=TRUE - Go to the Darktable
binfolder where you will finddarktable_cltest.exe. At the moment, due to a bug, you will have to run the following command twice to properly setup your integrated GPU to use OpenCL:darktable-cltest.exe -d opencl(if they incorporate my bug fix, then you only need to run this command once)- You probably donβt have to run
darktable-cltest.exebut perhaps just open darktable and it may also setup OpenCL devices
- You probably donβt have to run