Update:With the help of some users on Reddit I was finally able to update the stic
Here the recommendations that were given to me from this Reddit user (rtrski):
"A couple different small barriers that might be in your way, or might not, so bear with me if I'm off target.
The firmware should be up to date already, so at the very least I'd go thru the cal procedure first before attempting any upgrade. That's just me. When you first open up VKBDevCfg the installed firmware should show along with the stick name in the little window.
You may have to SELECT the stick name (left click it) in the little window to see all the settings. With only one it may autoselect for you, but I have two and it doesn't for me.
As someone else has recommended, best to run as admin when doing a firmware update. NOT required, but helps make sure VKBDevCfg is allowed to launch the bootloader.
Make sure both the VKBDevCfg and Booloader exe's are in the same place
(This is a slightly wild swing:) Did you perchance place them on your desktop or in a folder on your desktop? Are you running Windows 10 with their built in AV on? You MIGHT want to check if the following setting is active:
Virus and Protection Settings > Controlled Folder Access
If the above is on, it MAY prevent VKBDevCfg from being able to write a necessary zconfig.ini file, and that may also prevent it from being able to launch the bootloader.
I only mention this because I ran into some squirrelly behavior of a similar nature over a year ago with my first try with my 2nd stick. This setting blocks unsigned applications. You can either unset it, or place the folder with the EXE's somewhere else not considered 'controlled'.
Be sure that ou have the right firmware to attempt flashing. The naming convention can be a bit lengthy. If you just bought you probably have the new black box (truly black not orange), so you need either v2_00_7\_BlackBox_MK2_GF_SCG_L_v2_00_7.vkb or v2_00_7\_BlackBox_MK2_GF_SCG_v2_00_7.vkb (the filename with L denotes Left), I believe.
MK2 denotes the new blackbox, NOT 'Gunfighter Mark II'.
Hope one of these might help you past the hump."
I checked all the steps above and also used another PC with a clean Windows (instead of my Alienware PC) and ran as admin etc....
The device was recognized and the update seemed to have been performed!

I have however that message "Error write data: 0"

Is it something I should be worried about ?