You should have Mosek 10 installed in Matlab with the path added to the Matlab path, but apparently you already do if mosekdiag showed it.
When you run cvx_setup it should detect it and show you a list of solvers with a few copies of Mosek, usually called Mosek, Mosek_2, etc.
Then you choose one with cvx_solver, for example cvx_solver Mosek_2 and so on.
You should not be discouraged by the fact that CVX will list all of them as Mosek9.1.9, this is just a bug in the cvx report. Just look at the paths printed in cvx_setup and then use the solver with the correct path to Mosek 10.
Then when you solve the problem you should see in the log something like
MOSEK Version 10.2.6 (Build date: 2024.......)
Copyright (c) MOSEK ApS, Denmark. WWW: mosek.com
Platform: Windows/64-X86