Hello @Jorge Fernando , Thanks for using Microsoft Q&A Platform.
This is a known issue. For suppose if you turn on VNet on a resource, it means that resource can only be accessed via the VNet and not from any other network. But the VNet/Firewall/Private Endpoint for "add your data" feature is not supported as of now. So, the resource has to be on a public network (no private endpoint/VNet): https://learn.microsoft.com/en-us/azure/ai-services/openai/concepts/use-your-data#virtual-network-support--private-link-support
The product team is already working on this, and we don't have any ETA to share with you when this is supported. Will let you know if we hear anything.
I hope this helps.
-Please kindly accept the answer and vote 'yes' if you feel helpful to support the community, thanks.