Thank you for asking this question on the Microsoft Q&A Platform.
When you configure a private link, there are some requirements at the DNS level.
You must have a DNS server in Azure and do a DNS Forwarding to 168.63.129.16
For more details https://learn.microsoft.com/en-us/azure/private-link/private-endpoint-dns#on-premises-workloads-using-a-dns-forwarder
Hope this helps!
Accept Answer and Upvote, if any of the above helped, this thread can help others in the community looking for remediation for similar issues.
NOTE: To answer you as quickly as possible, please mention me in your reply.