Hi Luba,
I finally understood what was going on.
First, in order to make a GeoJSON file work, these two boxes must be clicked when using the Feature to JSON tool.
Second, in order to import it in pandas and use it with other libraries such as Folium, what I did was change the extension of the GEOJSON file to JSON and open the file using the raw GitHub URL, which allows you to access the file directly (this can be done by clicking the 'Raw' button on the page). I found the solution here: sql - importing json file from github into python. Getting Error: JSONDecodeError: Expecting value: ...
So basically, there is nothing wrong with the Features to JSON tool, but there are some things that need to be explained in order to make the files work outside of ArcGIS Pro.
Many greetings and thank you very much for your help.
Marta