I think the problem occurs if you try to link a device which you had already linked to and detached from iCloud before.
The following worked for me:
1. On your Mac go to settings: iCloud.
2. Go do account details to view the list of devices connected to your iCloud account.
3. Choose the device you're trying to set up (should be listed there if you've used it before) and delete it from the list.
4. Try again to set up iCloud on your device. Now it shouldn't ask for another device's password.
I think iCloud wants to use keychain (on the device you want to connect) by default when setting up iCloud and it recognises your AppleID and sees that the device is already in the list mentioned above so it somehow tries to use your Mac's password for encryption. However, I'm not completely sure about that.
The following worked for me:
1. On your Mac go to settings: iCloud.
2. Go do account details to view the list of devices connected to your iCloud account.
3. Choose the device you're trying to set up (should be listed there if you've used it before) and delete it from the list.
4. Try again to set up iCloud on your device. Now it shouldn't ask for another device's password.
I think iCloud wants to use keychain (on the device you want to connect) by default when setting up iCloud and it recognises your AppleID and sees that the device is already in the list mentioned above so it somehow tries to use your Mac's password for encryption. However, I'm not completely sure about that.