Hello Lorenzo Perino from the screenshot you provided, it looks like a policy is blocking you from Resource group creation.
I would recommend that you Ensure that you have the necessary permissions to create a resource group in your Azure subscription. The error might be due to a lack of permissions.
Could you pls first try to create the resource group, then use this for the VM creation. This will confirm your access.
Sign in to the Azure portal.
- Select Resource groups.
- Select Create.
- Enter the following values: ...
- Select Review + Create.
Please let me know if you have further questions
You can mark it 'Accept Answer' if this helped.