See below scenarios where this message will show:
1.- When exchange online license is assigned it may take some time to generate mailbox.
2.- If exchange online license not assigned for user
3.- Modern authentication not enabled for the tenant.
Note: ARS uses ExhcangeOnlineManagement module for ModernAuth
4.- ExchangeOnlineManagement module is not installed on box where the ARS service is running (on All ARS service box the module has to be installed). After installing the module service restart is required
5.- edsvaAzureTenantsModernAuthEnabled='#true' under the "Configuration" node to use the ModernAuthentication. After updating the attribute the ARS service restart is required. Reference admin guide –
Working with Modern Authentication