It is resolved after calling the Microsoft support team.
Issue was the file path. However, it is not the prefix but the suffix after the storage account name. Looks like Gen 2 storage account should be referred with dfs instead of blob
CREATE EXTERNAL DATA SOURCE ext_source_worldwideimporter WITH (
LOCATION = 'https://{storageaccount}**.dfs.**core.windows.net/{container}/',
CREDENTIAL = WorkspaceIdentity
);
Hope this is updated in the documentation for future users, be consistent to allow one method ( blob works in read but only dfs work for write ) and also change the error message to be more clear.