Error while creating AAD DS - The identity of the calling application could not be found

When creating an AAD DS instance in my Azure tenant, I get the following error :

"details": [
{
"code": "InternalError",
"message": "The identity of the calling application could not be found. Please retry the operation."
}

Prior to this I had successfully created an AAD DS instance but I had to delete it to re-create it. This is when I got the error.

I am under the impression that there are things missing or conflicting in the Azure AD.

Any idea?