anonymous user I do not think it is supported if you store it under "My Lists". If, however, you store the list under SharePoint site during creation it will work with the steps documented on the official documentation over here.
I have validated in my local environment and it works fine. Here is the list which I have created on SharePoint using Microsoft List and stored under my SharePoint not under "My List".
I can access the same list in SharePointList Dataset which I have later moved to Blob Storage.
Storage Snapshot
However, I am checking internally with the products team if creating list in your personal using Microsoft List is supported or not and I will get back to you on the same ?