I figured out my mistake.
When I was asked to load an hex file I just selected the one visible in the file selector which was 'Marlin.cpp.hex'. No instructions told my which file to load.
As luck would have it I happened to notice file by mistake, 'Ender-3 Pro_1.1.6V_BLTouchV3.1PowerLossContinueEnglish.hex' in an earlier folder. And at my fourth attempt to flash the firmware I selected this one and YAAAAY it all works now.
So please update and specify the hex file to be used.