I had the same issues on Delphi 11.3.
I have no clue why Delphi setup completely failed to install all SDK files/folders for Android. Java path was also not set. And this is a brand new installation (in a brand new computer )
I read the official documentation and tried some commands. In the end it worked.
So, I created a script - otherwise, next time when I install Delphi, I forget all the commands.
Do a search for "Update_SDK.cmd" in this page.
In the script, replace "32" with "33" if you are on Delphi 12!
Run the script and grab a beer until it finishes...