On Azure the OpenAI Studio by adding data source with blob storage connection gives the following error message on validation: “No valid managed private endpoint found”

Q: Who is missing what? How to resolve this issue? How to get more details on what is missing?

All other message was quite helpful during validation but not this one!

Configuration:
We have a peered network; on one segment we have the OpenAI and on the other segment we have the Cognitive search. Privat DNS is configured and linked to boot network for storage, OpenAI and Cognitive search as well, name resolution works on boot network segments.