I'd like to thank support for helping me to solve this issue.
On my PC iCUE seems to be broken so it was saving blank profile.
Corsair recommends performing a clean install of iCUE:
Open your computer's Control Panel. Open the Programs and Features options. Select Corsair Utility Engine in the list, and then select Uninstall. Press Window Key + R to open the Run command. Type %appdata% and press Enter. Delete any Corsair folders in the window that pops up. Return to the Run window and type %localappdata%. Delete any Corsair folders in the window that pops up. Open File Explorer and navigate to C:\Program Files (x86)\ for iCUE 3, or C:\Program Files\ for iCUE 4. Delete any Corsair folders in that folder. Type Regedit in the Run window and then click OK. Go to HKEY_CURRENT_USER\Software\ and delete the Corsair folder. Go to HKEY_LOCAL_MACHINE\SOFTWARE\ and delete the Corsair folder. Restart your computer. Download a new installer file for iCUE from Corsair.com and reinstall.