@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.
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Here is the link:
https://learn.microsoft.com/en-us/azure/cost-management-billing/understand/analyze-unexpected-charges
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.