This one seems odd to me. In my tenant I have one classic site collection that I've been trying to modernize for the last 2 years. On this one site in particular there is a reluctance on the customer's part to change.
This morning they shared an error when they try to create a personal view. See attached.
The error message is: Access is denied. (Exception from HRESULT: 0x80070005 (E_ACCESSDENIED).
I also tried it from the library settings and I get a similar error.
The people who receive the errors have full control on the library. I have a test account that I added to this group and it experienced the same error.
When I log in as the site collection administrator I can create a personal view.
I tried creating a new document library and it behaves the same way.
I tried another site on this site collection and it works fine.