I resolved this issue myself. Thanks @Mohammed Altamash Mohammed Suleman Khan for some initial hints.
The entire problem comes from the fact, that being an owner of the subscriptions does not give you the full rights.
I came up with a custom role defined like this:
{
"properties": {
"roleName": "Custome role for EventGrid",
"description": "",
"assignableScopes": ["/subscriptions/<my_subscription_guid>"],
"permissions": [
{
"actions": ["Microsoft.EventGrid/eventSubscriptions/write"],
"notActions": [],
"dataActions": [],
"notDataActions": []
}
]
}
}
After the role was created, I went to PIM (Privileged Identity Management) for my subscription and created a new role assignment to my account.
Enabling malware scanning was possible from the Storage Account level (subscription settings override), but not from the entire subscription level. However, this resolves my issue enough.