EDIT: I found the issue in my Databricks metastore was that it did not have a default storage location set. The academy setup scripts don't explicitly set MANAGED LOCATION and therefore without a default location it fails.
I tried to establish a default storage location on my existing metastore but it didn't work for some reason - silently failed, not sure where to look for logs or error messages. But, I confirmed this was the issue because I set up a new metastore (in a different region) and a new workspace, and at metastore creation time I set a default S3 bucket, and then - voila - CREATE CATALOG worked fine without specifying managed location.