Nevermind. I figured it out. I needed to create my ArcGIS Online account through my My Esri Product Information page/Fulfillment Page. After that, I choose Named User license and signed in through the ArcGIS Online account from ArcGIS Pro and it worked.
I am surprised to see that no one from Esri has filled in the Gaps.
Anyway, I am just extending my original reply for those who need an extra nudge to pass through this hurdle of authorizing licenses for ArcGIS.
I am not sure if Esri changed any processes with this but when I purchased the ArcGIS for Personal Use, I received an email with title Esri - Order Fulfillment Confirmation (Order #) . After reviewing this email closely, I clicked on the link to access the items. Once I was on this page, I logged in with the username that I made the purchase. Next, you should see some info to setting up ArcGIS Pro from ArcGIS Online through a link. I hope this helps.