New Login Flow - Error on Kite Connect

While following the login flow as in bellow link, I am receiving an error as follows:

Login Flow

https://kite.trade/docs/connect/v3/user/#login-flow

opening this url in browser
https://kite.trade/connect/login?v=3&api_key=xxx

Error

{"status":"error","message":"Error setting session","data":null,"error_type":"GeneralException"}

This happens if I try to login after opening my browser for the first time or in Incognito mode. If I first login to https://kite.zerodha.com then login-flow works properly.

Please look into the matter and let me know if this is expected behavior?

Regards,
Chirag