Setting server roles in Azure SQL

I am setting up a new Azure SQL database server with Entra security. I am having trouble adding a user to the database manager server role.

I add the login in the master database like this:

CREATE LOGIN [email address removed for privacy reasons] FROM EXTERNAL PROVIDER

I then add the login to the server roles like this:

ALTER SERVER ROLE ##MS_DatabaseConnector## ADD MEMBER [email address removed for privacy reasons]
ALTER SERVER ROLE ##MS_DatabaseManager## ADD MEMBER [email address removed for privacy reasons]
ALTER SERVER ROLE ##MS_DefinitionReader## ADD MEMBER [email address removed for privacy reasons]
ALTER SERVER ROLE ##MS_LoginManager## ADD MEMBER [email address removed for privacy reasons]
ALTER SERVER ROLE ##MS_ServerStateManager## ADD MEMBER [email address removed for privacy reasons]

(I am creating a sysadmin login, hence all of the roles.)

There are no errors reported.

When a CREATE DATABASE is run when logged in email address removed for privacy reasons the following error is reported:

Msg 262, Level 14, State 1, Line 1

CREATE DATABASE permission denied in database 'master'.

I have obviously left a step out, but in looking at MS and other documents, I can't see what it is.

Thanks,

Eric.