Fails to bridge to Azure Event Grid Mqtt Broker (400 test failed: closed)

Has anyone tried to make a bridge from emqx to an Azure Event Grid mqtt broker?

I followed this tutorial using EMQX instead of MQTTX:
Quickstart: Publish and subscribe on an MQTT topic using portal - Azure Event Grid | Microsoft Learn

Our emqx works fine to connect to other emqx brokers. And I tried connecting to the azure event grid using MQTT explorer and publish and subscribe to messages no problem.

But whenever I try to set up a bridge between EMXQ broker, and the Event Grid, it fails with: 400 test failed. Closed.

The emqx logs doesnt say much other than that also: The reason it failed is due to it being closed.

The port is not closed, as it works with other MQTT clients…

Any ideas?