@mgellis I'm glad to see you were able to resolve your issue. Thanks for posting your solution so that others experiencing the same thing can easily reference this. Since the Microsoft Q&A community has a policy that the question author cannot accept their own answer, they can only accept answers by others, I'll repost your solution in case you'd like to Accept the answer.
You are unable to create AI Project and getting the error
Failed to create project.
Your request for data was not sent. Here are some things to try: Check your network and internet connection, make sure a
is not blocking your connection, check if you have an ad blocker turned on."
The issue turned out to be transient and now you are able to create the AI project successfully.