You code looks correct. Make sure that the options are being passed into the map object. For example: <AzureMap options={option}>
Verify your subscription key is correct, it's pretty easy to miss a character when copy/pasting, or accidentally add a space or additional character. Also make sure you are passing in your primary or secondary key and not your client ID.
Take a look at the network tab of the browser dev tools and look at some of the requests to https://atlas.microsoft.com
and take a look at the URL's and headers to see if there is a subscription-key
property. This should usually be in the request URL but could be a query parameter on the URL itself. If you don't see one of these, then it's likely the map isn't getting your options and is using its defaults.