Hi Prasanta and Jeremy,
Eventually, after fiddling with the issue, Rebecca from ESRI Tech Support has managed to pinpoint the cause for this behavior (applause).
It's a bug that occur only when the OS Time zone is defined as UTC+2 Jerusalem.
other UTC+2 time zones doesn't present similar phenomenon, and this is the workaround for bug - chnging the Time Zone.
The bug still exists in Pro 1.1 Beta.
BUG-000087447: ArcGIS Pro does not recognize Jerusalem time zone, resulting in non-functionality of illumination options for global and local scenes