Setting up Directory Service for ZTNA document is stale.

No ZTNA category so I chose Central Endpoint and Intercept X.  Not right but I had no other real option.

I do realize Microsoft is constantly changing their portals.  Gives their developers something to do I guess. XD

https://docs.sophos.com/central/ZTNA/startup/en-us/setup/SetUpDirService/index.html#create-an-microsoft-entra-id-azure-ad-user-group
No Add Tenant button.  Add drop down is not correct. Have to click on Manage tenants.

Then one can create a new tenant.

Under Create an Microsoft Entra ID (AzureAD) user group, There is no longer an option 2 - Select Azure Active Directory.  It's now Microsoft Entra ID

Group creation is slightly different