I suspect you didn’t hit save in the top left of you texture editor window before baking.
I’m using UE 4.22.3 , but I doubt the version should make a difference here. I’ve been baking sunlight from HDRIs for a while on older versions than 4.20.x
I baked that image using Luos’ GPULM too, no difference there.
The only other thing I may have done is set the ‘EditorSkySphere’ you made to ‘Movable’ so it’s not included in the light bake. It should have no contribution to static lighting and should only serve as a realtime background.