Microsoft Sentinel: System Assigned Managed Identity can't find location

Question

I'm trying to connect Azure Activity to Microsoft Sentinel. It requires creating a Managed Identity. When creating a System Assigned Managed Identity, a location is required but there's no location options to select.

Any idea what could be causing this? I've been trying to get around this for a week, but I'm not getting anywhere.

I've also tried using a User Assigned ManagedIdentity, but I get a different issue saying "Role Assignments creation failed ajaxExtended call failed error". Still, I would prefer to fix the original issue to create a System Assigned Managed Identity before resorting to a User Assigned one.