Thanks techsaavy for sharing your feedback. I did however now try everything as well without any luck. Still the same message. Will wait a bit longer now keeping the window open to see whether it just needs time (more than the 15mins it is open now). Did download the config file shared in the original post and quite sure that I did include the correct key (I do hope :)). Will check in again if in the end it does work!
EDIT: Solved! What was the issue? Trying to start mining using my work laptop to test during lunch, apparently the internal WiFi channel prevented the connection. On public WiFi it does work! So in case of similar issues, also check this.
RE: [UPDATED 7/6] How-To Mine Steem Power in Windows