@dbuser24 perhaps a way to determine this would be trying this in the Databricks Free Edition? This could provide some insight. 

By the sounds of the error message, it seems more like a permissioning issue with regard to be able to create/read from a directory. 

If you have a Free Edition, could you try one of the following notebooks/guides (they've worked for me previously)

I imported this notebook from this resource: https://docs.databricks.com/aws/en/mlflow/end-to-end-example If you look at the navigation bar on the left hand side of the website, you'll see there's a few out of the box examples you can just import into your environment. 

I tried this one: https://docs.databricks.com/aws/en/notebooks/source/mlflow/mlflow-classic-ml-e2e-mlflow-3.html and it's worked perfectly fine in my databricks free environment. I'm not too familiar with all the ML components in Databricks but it's working. All it required was for me to create a Catalog called "main". I didn't want to change all the catalog names in the paths that get referenced haha!

Definitely a really cool resource that I've linked though. I'll be learning ML by examples through that. For what it's worth, below is a picture of the ML Notebook working in my environment:

All the best,
BS