Hi Vitor Tajra.
Welcome to the Microsoft Community.
This is a known issue where some users report an error when creating a Microsoft account and associating it to PSN.
I found a page on the official Horizon 5 website at.
Link a Microsoft Account to a PlayStation Network Account in Forza Horizon 5 – Forza Support
If following the steps on the page does not resolve the issue, please click “Submit a ticket” on the page to submit a form and get in touch with the Forza Sport support team.
If you have any questions, please feel free to send us a message.
Sincerely,
Nam-D - MSFT | Microsoft Community Support Specialist.