Office 365 Threat Intelligence connection

Hi there,

I'm trying to enable the Office 365 Threat Intelligence connection here:

security.microsoft.com > settings > endpoints > advanced features > Office 365 Threat Intelligence connection.

The error says:

Cannot turn feature on. Use an account with security administrator permissions in O365 security and compliance.

I'm using an azure ad global admin with whom I've given the security administrator role from:
https://compliance.microsoft.com/ > permissions > roles - Microsoft Purview Permissions: role - Security Administrator

I've also given my global admin these roles:
Azure AD: Security administrator
Purview: Security administrator

But I still get this error when turning on the connector:

Suggestions???
(thanks in advance)