I have already bought this board NUCLEO-F413ZH to discover that it is not supported in the Keil board list?
Why is that and how to solve this problem?
Your target is supported by Keil MDK 5, see this screenshot of the Pack Installer:
Also, the support is confirmed at the "MDK5 Device List":
related AppNote:"Using ST-Link/V2 and MDK 5 with Discovery/Nucleo Boards"