Exercise by itself doesn't increase calorie burn all that much, it just strengthens your body in other ways. It's still very important, but to have a healthy weight you need to eat healthy (for most people this just translates to eating less) and diverse foods with good macro coverage.

You not changing your diet is the problem in this case, and that protein bar has so much sugar that by itself it's counteracting whatever effort the exercise had in the first place.

Also in my experience most people who say this kinda stuff (I train and eat healthy but can't lose weight!) actually don't eat healthy at all, because they simply don't know what that actually looks like.