I solved it! Hurray!
I updated the BIOS to F3 and set the memory speed multiplier to 21.33 (which is 2133 MHz). And voilá, I have 32 Gigs of memory. Although it is now slower than the capacity of the RAM itself, but works.
It seems to be working fine with 2 RAMs @2666, but not with more. I reckon it is because of the CPU. I have checked and it is supporting RAM DDR4 up to 64 GB at 2133 MHz. So Either I change the CPU (which I won't) or make a deal with the retailer to exchange the bloody expensive DDR4 / 2666 modules to the native 2133 version. (and save $35)
Or I simply leave as it is. It's already paid anyways.