The overall steps looks to be ok. However, something is wrong in steps 4 and 5.
When do you inserted the USB key and booted the machine, ME asked you to insert PSK into ME?
It's looking that this machine is already provisioned even before you started this process, can you confirm what status the UNS is showing (see attached print screen).
If it is already configured, you should unpromising in BIOS to default factory mode and try it again.
What you should expect see in UNS after PSK be inserted is "In Process"
Yes, You are right, Before I start this process, ME was configure through BIOS (Ctrl +P), But default provision mode was PKI, I couldn't change to PSK. I guess, I need USB flash drive in order to provision it.
I have done full UNPROVISION by going through (Ctrl +P) and then insert USB flash drive. It works after then.
I have some additional question since I am setting up this first time. Once I see device is in SCS server, What exactly, I can change?
1. Can I able to change FQDN through SCS server for AMT Platform?
2. How about ME Password change?
3. IP Address/DNS/Gateway etc of ME/AMT platform through SCS server?
4. KVM Passowrd?
Aswering each question:
1. You can't change FQDN from SCS... it's tied with suffix DNS that vPro machined received from DHCP at configuration process.. if you need change it, you should consider re-provisioning with new FQDN in order to have it in sync with SCS and make sure that vPro machine can be reached from SCS
2. You should do it inside the profile used to configure vPro and sync with machine;
3. You must dot it locally, inside MEBx;
4. as answer 2, you should do it inside the profile and sync.
My two cents.