I have already created a EE profile, selected yes for all Province. Do I need to go to each Province website and apply…

Some require application by yourself and some don't: here are some of the programs you can apply for by yourself: Prince Edward Island, Saskatchewan, Morden (form to be sent by email along with documents needed), & Quebec.

Certainly without fail select all provinces individually and also 'All provinces'. Just because of that mistake I lost my first round for Nova Scotia PNP. However, got the PNP in the next round when I corrected my mistake.