The issues seemed to be on the Region selected.
I had Poland Central for the storage account, ai openai and search service with all the roles added needed for a managed identity setup.
With Inspect in the browser I could find in the Network tab in one of the calls at one point the following message.
Access denied due to invalid subscription key or wrong API endpoint. Make sure to provide a valid key for an active subscription and use a correct regional API endpoint for your resource.
Although my RG is North Europe, I've created a new set of storage account, ai openai and search service in EastUS with the same group of roles for the managed identity configuration and it worked.
I believe Azure is still asigning "behind the scenes" the resources in another region if not available in the one selected generating the problem I was facing.