Did modern supranationalism in Europe began with the creation of Benelux in 1944?

Not really. Although the Benelux Union was formed in 1944, it was not until 1955 that supranationalism was present, when a Benelux Parliament was formed. The European Coal and Steel Community was formed in 1952. When the ECSC was formed, it had several aims, one of which was to become the first supranational organization in the world, which it did, as the Benelux Union was not yet supranational.