SharePoint connector, issues with using it

[Krsnik]

There gave been a number of people in my team that want to use Alteryx with SharePoint, and pull that from it, either from lists or files. 
I did set up Azure App Registration as stated here https://help.alteryx.com/2021.4/DataSources/Sharepoint.htm 

The permission are also enabled

I am using App Only Authentication and Application (Client) ID and Value from Secret I have set up. However I am getting 403 error that it is forbidden. I am not sure if I am setting this up incorrectly or my company is blocking it and I need to request some Admin credentials.