Thank you for your time and patience on this issue!
From your issue, I was able to find a related thread and you should be able to resolve your issue by enabling this through Azure Active Directory directly. For more info - Diagnostic settings in Azure Monitor.
- Navigate to Azure Active Directory.
- Within the left menu, select Diagnostic settings.
- Add diagnostic setting.
- Enter your Diagnostic Settings name.
- Select the Logs and Destination Details.
- Save.
If you're still having issues and would like our support team to take a closer look into your environment and logs, please let me know and I'd be happy to work with you to enable a free technical support request for your subscription.
Thank you for your time and patience throughout this issue.