I solved the problem thanks to a user on this thread: I2C OLED working on Arduino Uno, not on Micro - Displays - Arduino Forum
The solution was to connect the OLED's SDA to Digital Pin 2, and the SCL to Digital Pin 3.
The reason was that my Arduino Micro Controller is using the ATmega32U4 processor, and the pinout configuration (as shown by the link below) indicates that SDA is on Digital Pin 2, SCL is on Digital Pin 3.