Thanks for reaching out. It seems from the Access Denied error your received while running the New-CsApplicationAccessPolicy Teams PowerShell command that your account does not have the appropriate permissions to run the command. Please ensure that you have provided appropriate role to your account.
Currently there is no way to create an Application Access Policy via Teams Admin Center portal or Azure UI portal and you have to use the New-CsApplicationAccessPolicy PowerShell command to create it.
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Thanks.