Didn't want to read the manual for you, but now I did:
Port 3 isn't configured "All pins input or tri-state" after reset. PB3 and PB4 are in "Alternate function mode", say configured for JTAG debug mode (TDO -> output). This ensures an empty chip can be accessed with an JTAG debugger. So this explains why the LED is lit with erased flash.
If you want to use these pins as GPIO, your firmware has to configure them to GPIO. The cube generated code takes care of this for you.
Anyway, always select at least "Serial Wire" for the Debug under SYS.
No idea for the timeout, I tend to not use most of the HAL functions, and if, just leave such stuff at the default. Most of the HAL functions are useful for initialization of a peripheral, but you have to read and understand the manual to make the correct settings in Cube, as these often just represent the bare register with no explanation. So yes, Cube isn't helpful to the newbie at all.
And yes, Cube doesn't do a good job in terms of taking you by the hand and explain what to do. It absolutely doesn't save you from reading and understanding the manual. It's a nice thing to get your I/O assignment done, depending on the chip you can get hints: e.g. said Conflict PB3 mapped with GPIO output. Translated: you must remove the GPIO output setting from that pin (set it to "Reset State" to solve the conflict. If one function can be assigned to another pin, Cube shows a <Ctrl-Click> to Show Alternate(s) when hovering over that pin.
Edit:
When using a nucleo board with Cube, select "Initialize peripherals according to board default" (or the like, can't find that option in that particular Cube installed on this particular PC I'm at now, but it exists somewhere), to get some helpful Pre-Sets for the Pins matching the board.