Where should I create meta pixel? Inside business portfolio or ad account?

I want to run my first meta ads campaign. I created a pixel then connected it to my website and CAPI. Events storing works fine.
AI chats and tutorials say that pixel should be created in business portfolio and then connected to Ad account. However when I create new ads campaign there is no Data Set to choose in Conversion chapter. I tried to connect my pixel to ma Ad account multiple times and gave all the possible access options. After many attempts I decided to create the pixel inside the ad account and it suddenly appeared in Conversion chapter.
Should connect the new pixel with my website and use it that way?
Have you ever experienced this kind of problem?