Welcome to the Microsoft Q&A Platform. Thank you for reaching out & I hope you are doing well.
I understand that you are facing permission issues with creating a Dynamic Network Group.
It appears that you do not have the required permissions as listed below,
Refer : [https://learn.microsoft.com/en-us/azure/virtual-network-manager/concept-azure-policy-integration#required-permissions
Make sure you have the required permissions and try again.
Please let me know if this helps or you require further assistance on this.
Cheers,
Kapil