Yes a font is missing. It is not a CTAN package. Fonts are hard to handle with LaTeX especially on Windows.
You usually need to have the font available on your Windows system. Do you have it ?
I would suggest looking online about Windows + TexLive + Chinese fonts to see the setup you can found.
You can change the name of the font also through YAML
For reference, this has been posted on SO too: How to render PDF from R Markdown with Chinese characters - Stack Overflow
I believe SimHei is not installed by default on Windows
https://github.com/MicrosoftDocs/windows-itpro-docs/blob/public/windows/deployment/windows-10-missing-fonts.md
You need the chinese option
Please do at least cross reference (FAQ: Is it OK if I cross-post?)