The suggested solution here requires Azure Entra P1 or similar to create custom roles. Further the build in roles for EventGrid Contributor (etc. ) that one could use to avoid custom roles were not available to me in the list of built in roles in Entra.
My solution to this was to navigate to Event Grid and create a new system topic for the storage account at hand. After deployment, with no further actions in the new resource, i could go back and successfully activate Malware Scanning .
https://portal.azure.com/#view/Microsoft_Azure_EventGrid/SystemTopicCreateBlade
After this I had a new event subscription in my previously created Event Grid