I have been facing the same problem over and over. Now trying to follow what's written here (https://docs.databricks.com/data/data-sources/azure/azure-storage.html#access-azure-blob-storage-directly), but always getting "shaded.databricks.org.apache.hadoop.fs.azure.AzureException: shaded.databricks.org.apache.hadoop.fs.azure.AzureException: Container containerfede in account storageaccountfede.blob.core.windows.net not found, and we can't create it using anoynomous credentials, and no credentials found for them in the configuration". Both my cluster and blob storage are located in the same place, so I am assuming that it must be the cluster's configuration.