After completing the four steps at Apple starting the doc, the solution is hidden, step 5:
Enable Apple Pay in your project settings on the Capabilities tab. This may be part of step 4 in the Apple doc, but the step that really worked was to verify the seller ID as shown in the screenshot below:

Edit: Also see the answer from @ChristopherJones if you still have problems.
(Make sure the seller you use with the payment request is exactly the same as the one in the Apple Pay features section. Remove the alphanumeric text at the beginning if you included it.)
After that, just create and run again.
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