1. Installed Jenkins on Windows 10
2. Added TFS Plug-in 4.0.0 (No choice to use earlier version)
3. Configured correct credentials to access TFS (Can access it via Team Explorer)

Result:
C:\Jenkins\jobs\sanityprod\workspace.
java.lang.RuntimeException: com.microsoft.tfs.core.clients.versioncontrol.exceptions.ItemNotMappedException: There is no working folder mapping for C:\Jenkins\jobs\sanityprod\workspace.
at hudson.plugins.tfs.model.Server.execute(Server.java:110)
at hudson.plugins.tfs.model.Project.getFiles(Project.java:177)
at hudson.plugins.tfs.actions.CheckoutAction.checkout(CheckoutAction.java:54)
at hudson.plugins.tfs.TeamFoundationServerScm.checkout(TeamFoundationServerScm.java:221)
at hudson.model.AbstractProject.checkout(AbstractProject.java:1276)
at hudson.model.AbstractBuild$AbstractBuildExecution.defaultCheckout(AbstractBuild.java:607)
at jenkins.scm.SCMCheckoutStrategy.checkout(SCMCheckoutStrategy.java:86)
at hudson.model.AbstractBuild$AbstractBuildExecution.run(AbstractBuild.java:529)
at hudson.model.Run.execute(Run.java:1738)
at hudson.model.FreeStyleBuild.run(FreeStyleBuild.java:43)
at hudson.model.ResourceController.execute(ResourceController.java:98)
at hudson.model.Executor.run(Executor.java:410)
Caused by: com.microsoft.tfs.core.clients.versioncontrol.exceptions.ItemNotMappedException: There is no working folder mapping for C:\Jenkins\jobs\sanityprod\workspace.
at com.microsoft.tfs.core.clients.versioncontrol.VersionControlClient.getLocalWorkspace(VersionControlClient.java:737)
at com.microsoft.tfs.core.clients.versioncontrol.VersionControlClient.getWorkspace(VersionControlClient.java:2154)
at hudson.plugins.tfs.model.MockableVersionControlClient.getWorkspace(MockableVersionControlClient.java:93)
at hudson.plugins.tfs.commands.GetFilesToWorkFolderCommand.call(GetFilesToWorkFolderCommand.java:57)
at hudson.plugins.tfs.commands.GetFilesToWorkFolderCommand.call(GetFilesToWorkFolderCommand.java:17)
at hudson.remoting.LocalChannel.call(LocalChannel.java:45)
at hudson.plugins.tfs.model.Server.execute(Server.java:106)
... 11 more

note: This same setup works fine in Win 8.1 with Java 1.7. Tried deleting workspace folder and repeating. Same problem occurred