I have the same problem. I used to be able to create an account in the organization's Office365 Admin page for a user and then immediately login into a new PC that I'm preparing for that user and configure it. As Windows says during config 'One account for everything'... That is no longer true, I have to jump trough hoops and create a 'personal' account meaning that I'm acting in the name of the user which I really don't like but it was totally fine for a professional account.
I can also use a dummy Microsoft account to initialize the PC and then create a local account afterward to eliminate the dummy account and end up with no Microsoft account for the PC.
It also used to be possible not to connect to the internet and directly create a local account but that doesn't seem possible anymore, at least in Windows 11.