The given translation seems perfect. That それ doesn't reference anything in particular, just like that that doesn't.
In most cases, それほど in a negative sentence should be understood as an adverbial expression as a whole whose function is to lessen a degree, just like そんなに. Replacing it with あまり would cause as little difference in nuance as replacing that with very.
それほど sounds slightly more formal than そんなに but not so much as さほど.
I wouldn't respond with それほど面白くなかった in your rock climbing scenario. It doesn't sound natural at all.
First of all, it doesn't answer the question, which asks what the second person did on the weekend. This problem has nothing to do with それほど. The problem with それほど is precisely that それ would not be understood as referencing rock climbing or how interesting it was.
The following conversation solves the first problem and that in turn somewhat lessens the degree of the second, but the meaning of the response is ambiguous and it still sounds unnatural.
The following is better although some ambiguity still remains. そんな面白いこと would most likely be understood as referring to rock climbing.
それほど in an affirmative sentence can be replaced with それぐらい. The referencing nature of それ is retained, but it usually refers to a degree that is mentioned or indicated earlier, rather than a concrete thing.
For example, それ in the second sentence below refers to what was stated in the first sentence: This book is so interesting that I have read it many times.
I have read this book many times. It is so interesting.
If I want to reference something concrete with それ in a sentence that states its degree in some quality is similar to something else, I would more likely say それと同じぐらい as in the following example.
I read an interesting book last month. This book is as interesting as that one.
[EDIT] Added examples at the end and rephrased the explanation about それと同じぐらい.