I suspect it can be becuase of some hidden policies.
Can you try this:
Click on the blue filter named "Datasource Type = ". The default view does not show all policies or identities.
I saw it helped in a similar thread here:
https://learn.microsoft.com/en-us/answers/questions/599385/cannot-delete-backup-vault
You can mark it 'Accept Answer' and 'Upvote' if this helped you
Regards,
Abiola