To use the Intel Compilers with Microsoft Visual Studio 2019 you must customize the install and enable additional workloads.
For Intel C++ and Fortran Compilers for Windows, it is necessary to install the Desktop development with C++ component from Visual Studio. This component is not installed by default. The Intel® Parallel Studio XE installation will detect the missing component and provide a warning, but the installation can still proceed. The component may be installed when Microsoft Visual Studio 2019* is first installed, or may be installed later.