First I tried to set it this way in a Windows machine, but it did not work.
Then tried on the laptop with Ubuntu 22.04, and it works now, GSM is displayed as connected. And I can see its IP address in the Balena dashboard.
On the device, I don’t see the network connection configuration file in the folder /resin-boot/system-connections though.
I found it in folders /mnt/boot/system-connections and /mnt/state/root-overlay/etc/NetworkManager/system-connections and mnt/boot/system-connections.
Anyhow, the problem is resolved now, thank you for the support!