@Stimpfle, Erik (DOA) , thank you for sharing additional information for this issue.
Based on the shared link earlier, the Anomaly Alert rule creation requires a Subscription to be selected. Please ensure that a subscription has been selected as shown in the screenshot below:
The "Add anomaly alert" option is disabled, when the scope is set to Management Group level, as shown below:
Hope it helps! Please let me know if you have any questions.
Please 'Accept as answer' and ‘Upvote’ if it helped so that it can help others in the community looking for help on similar topics.
Here is the link:
I can see the option in my cloud portal to create an alert but it doesn't work when I try to click on it.