I can see a bigger rectangle in the empty panel, which is the size of the panel. I do not refer to that little gray rectangle, which seems to be the indicator for 3D-plane orientation. You should notice a see-through rectangle. You can see the rectangle in my pic. Then you should be able to just click the hole with panel tool selected. And again, NO keys pressed at the keyboard, or it won't work.
It seems that you do it all right, but still, I can't see the "hollow", panel size rectangle, in your attached picture.
If that doesn't do it, then I've got no more tips, sorry.
AC25, Rhino6/7+Grasshopper, TwinMotion • Mac Pro 6,1 E5-1650v2-3,5GHz/128GB/eGPU:6800XT/11.6.5 • HP Z4/Xeon W-2195/256GB/RX6800XT/W10ProWS