Looks like you are trying to set up Azure AD using account which do not have sufficient permissions.
Minimum requirement to create a new directory is to have a tenant creator role.
If you're unable to create Azure AD directory, review your user settings page to ensure that tenant creation isn't switched off. If tenant creation is switched off, ask your Global Administrator to assign you a Tenant Creator role.
When you create a new Azure AD tenant, you become the first user of that tenant. As the first user, you're automatically assigned the Global Administrator role. Check out your user account by navigating to the Users page.
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