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I have done everything exactly like you wrote it, my issue is that adter the HJ finish the Thought What have I done doesnt appear. In both scenarios after the HJ finish no Thought appears

So maybe you already had it and upgraded / downgraded it. It should be one of Sheila's thoughts, 
it should be one of those:

+"This is what needs to be done.."
+"I have no other option"
"I have done something wrong...."
-"What have I done..."
- "I am a sinner!"

Look carefully, I just tested it and it worked.