Indeed, I was missing the Mount on my system and needed to enable it. Thanks for the comment, the ISO image started work using Mount.
However, the whole exercise didn't help me. Here are the steps, from the ISO image mounting this was the first dialog after some loading was done:
After clicking 'OK' this appeared as was instructed previously, so I thought we are getting somewhere with this one:
After clicking 'Install' it took little bit less than 1h to reinstall keeping all my personal files and apps. But, after checking after few reboots, when I try to access Windows Security:
This is what I get, an empty App and if I navigate for the same through Settings, Windows Security is not enabled, nothing happens, can't navigate there:
It is now Friday late afternoon in my time zone, I have struggled with this issue all week because I need to access it, you can imagine I simply love Microsoft software more and more, and would recommend for my friends and customers to upgrade to Win11 asap.
Any other ideas would be welcome, thanks in advance.