Purview cannot connect to Dataverse data store

Issue: Cannot connect to Dataverse from Purview. Error message - Failed to testConnection: Exception when processing request: The Web api request failed with a status of 'Forbidden' when TestConnection.

Description of issue:

The connection from Dataverse is now in Preview. I followed the steps listed on the page here:

Connect to and manage Microsoft Dataverse in Microsoft Purview | Microsoft Learn

I have done the following:

1. In Power Platform Admin Center, create an application user with the name populated with the Managed Identity Application ID from Purview.

2. In Purview, created a data source with Dataverse.

3. Use the Web API end point in D365 as the environment URL.

4. Create a new scan, but get this error when I tried to test the connection:

The Web api request failed with a status of 'Forbidden' when TestConnection.

Please advise. Thank you!