I have several of the two-button version of this ZigBee wireless wall switch. They don’t pair easily, which means repeated attempts, and patience.
To put it into pairing mode, hold the button until you see the LED blink twice, then release. If pairing is successful, you’ll see the catchall event, of course. If no catchall within 10 seconds, try again.
Also, I’d recommend installing the custom Aqara Button device handler (DTH) from the bspranger/Xiaomi GitHub repository (discussed on this thread.) It will help SmartThings to recognize your WXKG03LM when it finally does pair correctly. If not recognized, you just need to manually switch from the generic DTH to the custom Aqara button one.
Note: if you have anything besides a v2 hub, it may never pair properly.