Found the solution. The Azure Migration Appliance does not create the Azure Key vault as described in the error message.
Created an own Azure Key Vault (make sure on the networking tab the networking fits to your configuration intend of the Azure Migration VM (public or private)
learn.microsoft.com do not specify a manual creation of the Key Vault either: source: https://learn.microsoft.com/en-us/azure/migrate/tutorial-discover-hyper-v
after creating the Key Vault, you should allow Azure the replicate changes internally for about 5-15 minutes aka "the Azure minute" before you choose to retry on the appliance.