Hi @Mateo Estrada Bazan ,
Thank you for posting query in Microsoft Q&A Platform.
I tried creating view using
Azure SQL Databaseconnector type linked service. Its working fine for me. I usedsystem assigned managed Identityas authentication type in linked service.
Since, my managed identity has storage blob data contributor role on storage its not thrown any error and I was able to create successfully view from script activity.
Please check below screenshots.

Hope this helps. Please let me know if any further queries.
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