@Ha Vu, SF-G-2 Thanks for getting back and sharing an update. Storage accounts in virtual networks, firewalls, and private endpoints are supported by Azure OpenAI on your data. To use a storage account in a private network:
1.Ensure you have the system assigned managed identity principal enabled for your Azure OpenAI and Azure AI Search resources.
- Using the Azure portal, navigate to your resource, and select Identity from the navigation menu on the left side of the screen.
- Set Status to On.
- Perform these steps for both of your Azure OpenAI and Azure AI Search resources.
2.Navigate back to your storage account. Select Access Control (IAM) for your resource. Select Add, then Add role assignment. In the window that appears, add the Storage Data Contributor role to the storage resource for your Azure OpenAI and search resource's managed identity.
- Assign access to Managed Identity.
- If you have multiple search resources, Perform this step for each search resource.
3.If your storage account hasn't already been network restricted, go to networking tab and select Enabled from selected virtual networks and IP addresses.
Hope this helps.
More Info here.