You are unable to see or create Office 365 Groups associated to your environment. Learn more.
Note: Even if a Global Administrator consents for you, you will not be able to create an Office 365 group when you are using an app password as a verification method or have SSO (single sign on) enabled at sign-in.
If you are using an app password.
Disconnect from your environment and reconnect using the browser authentication method.
Once reconnected, your tenant should prompt for consent. This setting can be changed at any time. Learn more.
If you are using SSO (single sign on)
Disconnect from your environment. When you reconnect, disable SSO by toggling it off.