Cannot authenticate any user account using Auth2.0 for Microsoft Advertising

Question

Context

In my Micorosoft Advertising account, I have a created a conversion goal called Test. Using the Bing Ads API, I want to send an offline conversion for the Test conversion goal. Following the instructions within Authentication with OAuth, using a work Azure account, I have registered an app called Bing Ads API Client.

Using the Tenant ID and Client ID above, according to the step 2 in the docs (Request user consent), I've constructed the authorisation URL:

https://login.microsoftonline.com/{tenant_id}/oauth2/v2.0/authorize?
client_id={client_id}
&response_type=code
&redirect_uri=http%3A%2F%2Flocalhost%2Fmyapp%2F
&response_mode=query
&scope=openid%20offline_access%20https%3A%2F%2Fads.microsoft.com%2Fmsads.manage
&state=12345

Issue

When I load that URL above in the browser, I am presented with the usual Microsoft auth screen, where I need to select the account. However, when I try and log into account (pretending to be a user's account) majordomo@picketstudio.com, it gives me an error, see Loom below:
https://www.loom.com/share/5311d0c183404a568c60fd2ff9455ca6

Specifically, an error saying that the user account (majordomo@picketstudio.com) does not exist in the tenant.

Selected user account does not exist in tenant 'Picket Studio' and cannot access the application {client_id} in that tenant. The account needs to be added as an external user in the tenant first. Please use a different account.

However, I would have expected this to work since the supported account type in the app is set to "Accounts in any organizational directory ...".

I feel like I may be missing something simple here! I appreciate any guidance!