fraser Greetings & Welcome to Microsoft Q&A forum!
To add a new data source to your Azure OpenAI resource, you need the following Azure RBAC roles.
| Cognitive Services Contributor | You want to use Azure OpenAI on your data. |
|---|---|
| Search Index Data Contributor | You have an existing Azure Cognitive Search index that you want to use, instead of creating a new one. |
Could you confirm if you have these roles?
I would suggest you, please check once. Incase if you don't have these roles enabled, assign and try again.
Also, I see that you haven't selected the search index resource in the drop down can you select and try?
Let me know if that helps or have any further queries.