Emailed to Logitech product support last Saturday, received a reply this morning (Wednesday) which provided me a link to download and run the Unifying software. I actually did that before. But gave it another try today.
Tried many times and on different ports still no luck.
I have sent them a request to return the mouse (M510, came with MK550 Combo) and get a replacement.
After M510 failed to work, I bought another mouse, M705, I was able to pair it successfully.