TJus Greetings!
I'm glad that your issue is resolved and thank you 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.
Error Message:
I ran into a problem setting up Azure OpenAI with data sources. When setting up a data connection to an Azure AI Search resource with a system assigned managed identity, the following error occurs:
I provided the documented permissions for the resources as mentioned in the link on "Learn more about how to fix validation errors". As this error message typically lists the specific errors that occurred, I am now a bit lost on how to narrow down the problem.
Solution:
The reason for the error was that the Azure OpenAI resource was residing in an unsupported European region. I tried it with US East and it works fine.
If you have any other questions, please let me know. Thank you again for your time and patience throughout this issue.