Poom --. . . it appears to have several SWM files inside sources folder. Do I need to combine those files to a WIM file?
As I stated in previous post, those files are exactly as produced by the Pro's "Create Recovery" system. Do not do anything to them. Put all the files on a USB drive (without the "Surface Recovery" folder) and boot to that drive. Everything should happen automatically from there. I have not done this before, because I have not had occasion to "recover" my Pro, but I believe that is how it works.
I will be up for a while if you have any more questions, or, perhaps someone who has done it before can help.