on another laptop I get a different message to say my account does not exist in tenant Adobe Inc, the same issue being reported in this post
https://techcommunity.microsoft.com/gxcuf89792/board/message?board.id=AzureInformationProtectionBlog&message.id=189#M189
The same post does state that Adobe will only work with Sensitivity Labels....
"Prior to downloading the latest Adobe Acrobat, please make sure that your labels are visible in the Security and Compliance center UI @ https://protection.office.com/ . If the labels are visible and are published by a label policy from the Security and Compliance center, the Adobe Integration will function"
We are using AIP but I created some test sensitivity labels and it still did not make a difference. I am able to open the protected PDF files using the Foxit Reader and the AIP reader.