I thought that if the Intel Power Gadget shows that the CPU Power usage change it means I had power management. That is not correct?
Not exactly.
Power management involves a series of hardware and software states to lower power consumption without (ideally) impacting the overall perceived system performance.
For example, in addition to frequency stepping, CPU cores can go to lower power states in which they deactivate part of their circuitry in order to save power.
That applies to CPU, GPU and many other ICs inside the PC.
My build, in its base (post#1) form, does not explicitly activate OS-driven CPU and GPU PM, and that raises Rehabman's observation about PM not being present.
On systems equipped with i7-7500U, this seems the best choice, because the battery lasts 10+ hours, CPU and GPU step correctly and go to low states (up to C7, IIRC), and everything else work like a charm.
Bear in mind that this
may lead to other unexpected and still undetected problems.
On 9360 configurations other than mine, explicitly enabling OS-driven HWP may be required to get full performance/stability/better battery life.