If you create the end workbook from scratch you need to add the worksheets yourself. When creating a new workbook by hand using excel as desktop application there are 3 sheets created by default. Those aren't created when you do that from code.
Try change this:
Set xlWkShtFinal = xlWkBkFinal.Worksheets(1)
to this:
Set xlWkShtFinal = xlWkBkFinal.Worksheets.Add
Good luck!