Oracle Cloud: Linux VM denies access returning "oracle cloud public key WARNING: UNPROTECTED PRIVATE KEY FILE" message

>PROBLEM

You are using Windows and the procedures suggested by Oracle's documentations to connect the Oracle Cloud Linux VM fail returning the message:

oracle cloud Permission denied (publickey,gssapi-keyex,gssapi-with-mic)

>SOLUTION

Faster than "fighting" for an ideal solution via Windows, perform the procedure on Linux environment using a Docker container or a virtual machine (VirtualBox, VMware, etc.). 

>ENV

Oracle Cloud Linux VM
Windows 10
Debian 10/VMware