I'm glad that you were able to resolve your issue and thank you for posting your solution so that others experiencing the same thing can easily reference this! Since the Microsoft Q&A community has a policy that "The question author cannot accept their own answer. They can only accept answers by others ", I'll repost your solution in case you'd like to "Accept " the answer.
Issue: Azure Elastic Private Link Traffic Filtering - Cannot Resolve Private Zone. I have tried both the alias and the cluster ID methods, neither are working. How do I get this to work?
Solution: The problem was caused by the A record created in the private DNS Zone having the name "@" instead of "*". Correcting that resolved the issue.
If you have any other questions or are still running into more issues, please let me know.
Please remember to "Accept Answer" if any answer/reply helped, so that others in the community facing similar issues can easily find the solution.