Because it is soldered to the edge pad #3 on the underside of the module and the module itself is glued to the board with RTV, which I cannot pry away without destroying the board and module. There is a 1.5 mm space between the board and the module (the thickness of the glue blob) and this wire is inside the glue, I believe...
But I managed to heat the pad and with a needle I could dislodge the wire and push it inside the space.
Then I soldered another wire between pins 3 and 8 and tested again.
This time the module seems to have started because now there appears an Access Point with an SSID starting with AI-THINKER...
But something else is wrong still because the serial line does not work, no response to AT commands at 115400 baud...
Need to check the wiring of the TxD and RxD lines through the TTL-RS232 level shifter.