The correct solution is:
- uninstall SQL Server Management Studio 18.10, cause its installation process is bugged.
- install SQL Server Management Studio 18.9.2 (15.0.18386.0 / July 15, 2021)
- re-install SQL Server Management Studio 18.10
No errors in Event log and DdsShapes.dll is now present as 18.9.2 is installing this dll, which is NOT present in 18.10.
Someone should drop a note on the SSMS homepage that 18.10 is NOT suitable for fresh installations, only for upgrades.