Connect PowerBI online to Azure resources

I try to connect PowerBI Online dataflow to Azure resources, via de admin portal in PowerBI Online.

I have setup everything in Azure as described here:

https://docs.microsoft.com/en-us/power-bi/transform-model/service-dataflows-connect-azure-data-lake-storage-gen2

I can select the subscription, resource group and storage account.

But once I connect, I get an error:

Toegang geweigerd

Probeer het later opnieuw of neem contact met de ondersteuning. Geef de volgende gegevens op wanneer u contact opneemt met de ondersteuning.

• Activiteits-id1d6031df-2dc1-4a81-a08c-344649ece3b5
• Aanvraag-ide18985e7-0633-40b3-a733-85d39ac7d5c7
• Correlatie-id88ab6345-82ac-ccfe-ca16-eff74bfaa394
• TijdFri Oct 02 2020 20:40:51 GMT+0200 (Midden-Europese zomertijd)
• Serviceversie13.0.14342.77
• Versie van client2009.2.02969-train
• URI clusterhttps://wabi-west-europe-b-primary-redirect.analysis.windows.net/

Does anyone have any idea on how to solve this?