As provided by your screenshot, you try to create a data flow in "MyWorkspace".
According to my observations and test studies in the official documentation, dataflow does not support creation in "MyWorkspace", which is a prerequisite described in the official documentation.
Creating a dataflow - Power BI | Microsoft Learn
So as a solution, since this option has been enabled in your admin settings, you can create an App workspace and click "New" to create a data stream, please refer to this official document for details.
Create a workspace - Power BI | Microsoft Learn
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