Well I have tried that, did I not?
The problem is that the BOOT1 pin also has to be 0, otherwise it will start execution from user RAM.
In my first test the pin B2 (BOOT1) was not connected and thus floating and detected as a 1. Tried it several times, no DFU mode running. Connected it to ground, wham, first try DFU mode running.
Edit: So either my boards are some clones not having a pull down resistor, or there is to much EMC radiating from my monitors and computer that the B2 pin is seen as 1. I have a couple of these boards from two different Aliexpress vendors, and they all react he same.