Access Azure Storage account via Synapse through Managed Identity

Question

I am trying to connect to Azure Blob storage via Azure synapse through Managed Identity based on the below set of steps:

1) Assigned an Identity to the Server

2) Gave access to the Server on Blob storage as contributor

3) Executed the below queries

    Create Master Key  

    CREATE DATABASE SCOPED CREDENTIAL MSI WITH IDENTITY = 'Managed Service Identity';  


        CREATE EXTERNAL DATA SOURCE [BlobStorage] WITH  
    (    
        TYPE = hadoop,  

    LOCATION = 'abfss://<<ContainerNm>>@<<StorageAccountNm>>.dfs.core.windows.net',  
    CREDENTIAL = MSI  
    )  

4) Created External File Format

When I am trying to create the External table, I am getting the below error:

External file access failed due to internal error: 'Error occurred while accessing HDFS: Java exception raised on call to HdfsBridge_IsDirExist. Java exception message: HdfsBridge::isDirExist - Unexpected error encountered checking whether directory exists or not: AbfsRestOperationException: Operation failed: "This endpoint does not support BlobStorageEvents or SoftDelete. Please disable these account features if you would like to use this endpoint.", 409, HEAD, https://<<>>.dfs.core.windows.net/<<>>//?upn=false&action=getAccessControl&timeout=90'

So what am I missing out?