Thank you! I didn’t think I had to configure Capture NX-D; that was the missing piece. However, it worked for one of my cameras (d3100) but it still generate unusable profiles for the other one (d5600). For the d5600, all profiles produce the error except one, which seems to have negative-like colors.
Anyway, I’m going to keep trying. I’m going to post here again if I get positive results.
Just in case anyone else need it: I already had Capture NX-D using Nikon sRGB4, changing it to IEC 61966-2-1 make it work.