@Gabel, Felix 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: while adding a SAP Backendsystem (Add new system) to Sentinel for SAP in Azure Portal we getting a error message. Collector VM is visible as healthy in portal. When selecting the agent in the dropdown - directly the error message FAILED TO CREATE CONFIGURATION ACCESS DENIED occurs
Resolution: Resolved by @Gabel, Felix followed the below steps
I deleted all created resources on azure and recreated them (KV, KV Permission, registered application,..) and crosschecked also the key vault permissions.
Now its working - but i can not tell you now which issue causes the issue.
If you have any other questions or are still running into more issues, please let me know. Thank you again for your time and patience throughout this issue.
Please remember to "Accept Answer" if any answer/reply helped, so that others in the community facing similar issues can easily find the solution.