Finally! Found it!
I've managed to get all the tooling (talosctl, kubectl, helm and such) working on Powershell. So I was able to test using kubectl proxy. And that gave me an actual error. Basically there was no service with the name I had supplied.
Which I found interesting, since all documentation told me to create the ingress using 'kubernetes-dashboard' as service name. But it needs to be 'kubernetes-dashboard-kong-proxy'.

