My parents had one of those Gazebos-in-a-box like yours and the same thing happened, but they didn’t have a high fence to stop it like you did, it blew threw the neighbors yard and crashed into their house. They returned it to Target a mangled mess, and they surprisingly refunded them no questions asked.
It looked a whole lot worse to the north of me. I just got a brief downpour and one decent clap of thunder that was at least 5 seconds after the flash.