I'm so sorry for this. Turns out I've been assigning roles to the wrong service account. I recently got access to the Storage Credential in Databricks and noticed the different service account.

These roles were enough:

1. Storage Blob Data Contributor (storage account)
2. Storage Contributor (storage account)
3. Storage Queue Data Contributor (storage account)
4. EventGrid EventSubscription Contributor (resource group)

Thanks for being so helpful!