Not sure if it's a bug, or it was designed as such. Either way, I've tried as per RC-R's suggestion and it worked! In short, I selected the RAW then clicked on edit on the upper right, then clicked on extension (5th icon from the top right screen), and it goes to Affinity's Develop, after which I could proceed as per normal.
As for right clicking and choosing to Edit with "Affinity", what owenr says make sense to me. Only that I have problem saving the edited file back to Mac Photo.
@John Rostron so when I open using the right click edit, the file opens as TIFF, which was indicated at the tab above and it doesn't open in Develop.
I am guessing we've found a solution now? :-D Thanks all for prompt replies and great feedbacks! Special thanks to R C-R! Time for editing :-D