I had communication re the support ticket today asking me to use the Problem Steps Recorder.
So today I followed the instructions to use Private Browsing mode to go through the setup process having opened the PSR app.
I've sent Microsoft the recording which they can go through to help resolve the issue.
But when I stepped through the process this time it resolved the issue.
I changed nothing in the setup, but what I did differently this time was instead of clicking the cancel button to get out of the setup I clicked the browser navigation back button to exit.
The other difference being using the Private Browser mode which will be isolated from other session Cookies etc.
You also need to be a bit patient when you go through the steps because a couple of the next processes take a few seconds.
Don't know if this is a solution, but it's worth a try.
Good luck.