Failed to create CoreCLR, HRESULT: 0x80004005

I'm trying to Disasm any .NET Core 3.1 based method as shown in the example (including the example method: InefficientJoin), but I'm getting 0x80004005 error.

1. I cloned dotnet/runtime.
2. I installed C++ related payload via VS2019 installer (I skipped Windows 10 SDK)
3. After I did 2) I got DIA SDK folder so I no longer see the following: Error: DIA SDK is missing.
4. I installed CMake, Python was already there.
5. I run runtime\src\coreclr\build-runtime.cmd -all -checked -x64 -x86 (no errors)
6. When I'm trying to run Disasmo against any method I'm getting 0x80004005. It doesn't say anything about any configuration issues.

I'd like to use this extension since it seems to be helpful is some scenarios, however, I haven't figured out how to make it actually work. I've spent almost two days trying to make it work.