Ok, I finally found I could change the config on /websites/example.com and go to the Configuration and vhostconf.
Note that the file indicated on this docs https://openlitespeed.org/kb/setting-up-cors-on-openlitespeed/, or /usr/local/lsws/conf/v…
I have since found out that I should change the OSL config and did it as below.
I also rebooted the server after the change but THAT DID NOT SOLVE THE ISSUE.
Still getting no CORS headers.
on /usr/local/lsws/conf/vhosts/Example/vhconf.co…
Well, it was the DNS records in the end. I followed instructions in this video, which suited me well as my domain as at GoDaddy.
https://www.youtube.com/watch?v=JgL-s3Ogq-k