Macbook can't identify external Keyboard

I bought a MacBook Pro. I already had a Wireless Keyboard (but it uses a USB-A connector), so I wanted to use the same. The keyboard is Microsoft Designer (Portuguese layoyut). As the MacBook Pro only has 2 USB-C outputs, I am using a Dongle.

When connecting the USB connector to the Dongle, already connected to the Mac, this message appeared:

I pressed "Continue", but I couldn't get past the next menu:

In my case it's the z key.

I've tried everything I can think of. Press the z key and wait more than 10 minutes, press the key several times, press for a long time, test several keys and nothing works.

Mac recognizes the keyboard. And it recognizes it as the HP Wireless Keyboard Mouse Kit because it is manufactured by HP and sold in a Pack with the mouse which, by the way, works very well via bluetooth:

But I can't use the keyboard at all:

- I have already repeated the initial process of trying to identify the keyboard;

- I have already tested other ports of the dongle;

- I can't add via bluetooth because it only pairs with the USB-A connector;

An even stranger thing: the brightness and volume up/down keys work...

I think it might have something to do with this:

In Input Sources we can choose the keyboard language we want.

The Portuguese keyboard key next to Left SHIFT is <, but on mine it is the z key.

But I can't find any language that the key next to the SHIFT is the <.

And I've already tried using this key, instead of z, to recognize the keyboard and it doesn't work.

Can anyone help, please?