I have uninstalled the previous setup, deleted all files and redeployed everything using guide at https://github.com/m5stack/M5Stack/blob/master/docs/arduino-ide/windows.md
This time I can properly see the M5Stack-Core-ESP32 board on the list.

Thank you for the help.

Is there any way we can request an update of the http://www.m5stack.com/assets/docs/index.html to avoid confusion in the future?

dont do this part:
Start Arduino and open Preferences window.
Enter http://www.m5stack.com/download/package_m5stack_index.json into Additional Board Manager URLs field. You can add multiple URLs, separating them with commas.