This behavior is expected when you sign in with your personal Microsoft account. when you try to log in to Azure by using your personal Accounts you are connected to the Microsoft Services tenant by default. Within the default tenant, there is no linked directory for performing any actions.
As this is a standard tenant without any directory associated, you cannot perform any administrative actions.
To resolve this issue, you need to create your own azure account by using https://azure.microsoft.com/en-us/free/. When you create a new tenant, by default you become the Global Administrator of the new tenant and have full access to all the options in that tenant.
For more scenarios, please read Error AADSTS50020 - User account from identity provider does not exist in tenant
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