The apostrophes in the Unix command simply say to treat the included text literally, reducing how much the Unix shell tries to interpret special characters. CMD.EXE (derived from COMMAND.COM) supports fewer special meanings for specific characters, so such apostrophes are often not needed.
In Unix, starting with a $ indicates a variable. For CMD, you can specify a variable with a percent sign at the start. In some cases, it is more clear if you place a percent sign on both sides of the variable name.
While Unix uses slashes to specify different directories, most programs that you run from CMD will typically uses backslashes to separate directories.
If you do prefer to use SETX, then ditch the equal signs (using spaces instead) and quotation marks might be recommended.
SETX OPENAI_LOG_FORMAT "stdout,log,csv,tensorboard"
SETX OPENAI_LOGDIR "C:\path\to\tensorboard\data"