@Gagnon-MacAleese, Ryan (SSC/SPC) I had this same problem and just figured it out on my own.
I had to wander on over to the following exercise:
Azure Fundamentals: Describe Azure architecture and services -> Describe the core architectural components of Azure -> Exercise - Explore the Learn sandbox
Once in that exercise you can click the button to create a Sandbox. Once the sandbox was created, I was able to come back to the Exercise - Create a storage blob unit and it worked for me.
@kobulloc-MSFT This seems incredibly complicated and not user friendly. If the Exercise - Create a storage blob requires a sandbox to be created, there should be an option in that exercise to create a sandbox.