Solution is to Uninstall old Library version (ONLY LIBRARY, NOT OTHER PACKAGES) via Extensions -> Manage -> Manage -> Search for "Gantry" (select old Library version and then Uninstall) and then download Framework from the following link and upload it via Extensions -> Manage -> Install -> Upload & Install:
gantry.org/downloads#gantry4
Something changed in Joomla 3.9.x because I tested this on Joomla 3.8.12 and it updates fine.
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