Hello
This seems to be an Network/DNS server issue.
Open a Powershell command on your machine, and confirm that there is PE created (there is privatelink in the DNS resolution chain meaning there is PE created, like below) for this data store:
if there ia no managed PE created, then please create managed PE
if there is a managed PE then please confirm managed PE is correct.
for SQL: the zone name is<server>.privatelink.database.windows.net
)
Reference document:
https://learn.microsoft.com/en-us/azure/azure-sql/database/private-endpoint-overview?view=azuresql
for storage:
I hope this helps.