Without PRO you have 2 profiles. So in the free version, Profile 3, 4 and 5 say [PRO] in Load Profile, and choosing one does nothing. Your other changes of that save are still saved. See Free vs PRO & Activation.
With PRO, a number you don't have yet makes one new profile: a copy of the current one, added at the end of the list. So with 2 profiles, choosing Profile 5 makes Profile 3. The phone can load Profile 1 to 5, more profiles are loaded on the watch. See Profiles.