Thanks, AzureAcademy!
That's the exact problem we had.
I was trying to do it within my user context like you demonstrated in the video. Oops.
Once we ran the script from the run command blade, in the azure portal, it worked!
The only other configuration we needed to do for the cloud only environment was add another registry key
(reg add HKLM\Software\Policies\Microsoft\AzureADAccount /v LoadCredKeyFromProfile /t REG_DWORD /d 1) (Details about the key are https://learn.microsoft.com/en-us/azure/virtual-desktop/create-profile-container-azure-ad#configure-the-session-hosts) before users login otherwise their browser cookies/passwords in their AVD session are forgotten every time the host reboots. (See https://learn.microsoft.com/en-us/answers/questions/1019472/chrome-not-saving-passwords-azure-virtual-desktopforum post for more details)