I removed the previous exceptions to start fresh, probably that's the reason. The screenshot shows the window after starting wireshare right after installation, not adding anything to firewall exception.
However, I found this while looking at Windows 10's firewall exception list from
Control Panel\System and Security\Windows Defender Firewall\Allowed apps
Note this is not the advanced settings page where all the rules are showing.
Also a question here - do I have to allow for both Outgoing and Incoming connections? Or just outgoing?

EDIT: The checkbox is left for PRIVATE and right for PUBLIC. Only private is checked.