Hi Luca Pio Miano,
I'm glad that you were able to resolve your issue 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.
Ask: Unable to access Azure OpenAI from AI project
Solution: The issue is resolved. The problem had nothing to do with the one I mentioned earlier, I finally managed to solve it. The problem is that the connected resource in AIHub has to be configured with Managed EntraID authentication instead of Api Key authentication, doing so I managed to access the agent successfully.
If I missed anything please let me know and I'd be happy to add it to my answer, or feel free to comment below with any additional information.
If you have any other questions, please let me know. Thank you again for your time and patience throughout this issue.
Please don’t forget to Accept Answer and Yes for "was this answer helpful" wherever the information provided helps you, this can be beneficial to other community members.
Thank you!