AVX, AVX2/FMA, AVX512, etc. need OS & VM / Hypervisor support
Note that an operating system (OS) needs to support the new extended CPU state (OS-XSAVE) to allow software to use new instruction sets like AVX, AVX2/FMA, AVX512*, etc.
Windows 7, 8.x, 10.x or later, Server 2008/R2, 2012/R2, 2016/2019 is required.
* AVX512 and later are/will only supported by Windows 10.x and Server 2016/2019.
Older operating systems like Windows XP, Windows Vista and earlier have not been updated and are not likely to be.
If you are running under a VM / Hypervisor (e.g. Hyper-V), it may disable support for various instruction sets (including OS-XSAVE) in order to facilitate migration across hardware (as migrating to a system that supports less features might cause software to crash).