@Bruno Silva The requested feature to create diagnostic settings for subscription will be released as part of S185 milestone and you can set diagnostic settings using below snippet after the release is available to the customers.
$list = @()
Get-AzSubscriptionDiagnosticSettingCategory | ForEach-Object {
$list += (New-AzDiagnosticDetailSetting -Log -Category $_.Name -Enabled)
}
$DiagnosticSettingName = 'please use your setting name here'
$SubscriptionId = 'please use your subscription Id here'
$WorkspaceId = 'please use your workspace Id here'
$setting = New-AzDiagnosticSetting -Name $DiagnosticSettingName -SubscriptionId $SubscriptionId -WorkspaceId $WorkspaceId -Setting $list
Set-AzDiagnosticSetting -InputObject $setting
Reference GitHub issue : https://github.com/Azure/azure-powershell/issues/13066#issuecomment-806314270