I followed Make outbound connections through a shared private link to setup a shared private link between Azure AI Search and Azure OpenAI, and a usual indexer running works ok, it can vectorize chunks perfectly. But in a debug session throws an following error,
Could not execute skill because the Web Api request failed.
Web Api response status: 'Forbidden', Web Api response details: '{"error":{"code":"403","message": "Access denied due to Virtual Network/Firewall rules."}}'
I could solve the problem by setting a virtual network on Azure OpenAI.
Both Azure OpenAI and Azure AI search had private endpoints which connect each other via shared private link, but for some reason, Azure Open AI wasn't set a virtual network.
Once the virtual network which is a parent of the private endpoints is set on Azure OpenAI, the debug session started working.