Correction:  The error message from the screenshot is when I tried to add the dbms: prefix to the URL.  The error message without that prefix is the following:

UnityCatalogServiceException: [RequestId=dbda5aee-b855-9ed9-abf8-3ee0e0dcc938 ErrorClass=INVALID_PARAMETER_VALUE] GenerateTemporaryPathCredential uri /databricks-datasets/README.md is not a valid URI. Error message: INVALID_PARAMETER_VALUE: Missing cloud file system scheme.

I also tried the s3: prefix, but I realize this is not an externally hosted file, as all the literature says that this is an internal file.