After a lot of reading, research, trial and error, I managed to solve the problem.
As the documentation is not clear, in the “URL” field I was putting the URL of the portal that the administrator of my company uses to manage the “Trend Micro Vision One” solution but it turns out that this was not the URL.
You must enter the URL intended for the API according to the region you are in by putting https at the beginning.
Trend Vision One Automation Center
This solved the problem.
Note: In the policy that asks you at the end of the configuration you must create a policy where the Agent that will make the API connection and collect the logs is located.