Octavian Mocanu Greetings & Welcome to Microsoft Q&A forum!
We couldn't connect your data Principal does not have access to API/Operation.
This could happen for few reasons. Could you confirm if you have assigned yourself either the Cognitive Services OpenAI User or Cognitive Services OpenAI Contributor role?
Also, make sure that you have added Storage Blob Data Contributor
role as well.
To allow access to your Storage Account from Azure OpenAI and Azure AI Search, you need to set up Storage Account to bypass your Azure OpenAI and Azure AI Search as trusted services based on managed identity.
For more details, see Securely use Azure OpenAI On Your Data.
Do let me know if you need any further help.
I would be happy to assist you!