I've run into the same issue. Ended up just going to Azure Portal - Policy - finding the "Configure Azure Activity logs to stream to specified Log Analytics workspace" policy and then clicking on the "Assign Policy" within the definition and following that wizard, worked fine. Not sure why the Sentinel launched wizard breaks it.
Microsoft Sentinel: System Assigned Managed Identity can't find location
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.