Same issue here - Set-AuthServer -Identity "EvoSTS - {GUID}" -DomainController "FQDN" -IsDefaultAuthorizationEndpoint $true returns the same results that the domain controller:
The operation couldn't be performed because object 'EvoSTS - {GUID}' couldn't be found on '*****'.
In my case, I'm running fresh install of Exchange 2019 CU9 with latest patch from May 2021 and separate Windows Server 2019 and ran the latest Exchange Hybrid Wizard like 100 times.