@Lanh Khưu , when you enable service endpoint or private connect then you need to be on the trusted network remote connection with a trusted network, need peering or gateway-VNET
and yes, it could be a location issue but more importantly, how do you connect both to the service with the same pipe once you are on the pipe then location doesn't matter but yeah you will get latency if the location is remote.
Hope this information helps.
Regards
Geetha