Hi Michelangelo, Welcome to Microsoft Q&A. Thank you for posting your query here!
I believe your subscription might not have "Microsoft.Cloudshell" as a registered resource provider for your subscription. Could you please check your subscription page from Azure portal and load the Resource Providers page to check if the same is registered?
If it is not registered, you can click on the same and hit the register button and then try to follow the steps again.
Please let us know if you have any further queries. I’m happy to assist you.
Please do not forget to "Accept the answer” and “up-vote” wherever the information provided helps you, this can be beneficial to other community members.
-Ekta