SQL Server 2019 Can't create external table for a CSV file in Azure Storage Blob: An unexpected error has occurred while creating or attaching to JVM

Question

I have loaded a test CSV file to the Azure Storage Blob container. I followed the MS instructions to create the DATABASE SCOPED CREDENTIAL, EXTERNAL DATA SOURCE then EXTERNAL TABLE.

I got the following error when I tried to create the EXTERNAL TABLE:

Msg 105019, Level 16, State 1, Line 67
External file access failed due to internal error: 'Error occurred while accessing HDFS: An unexpected error has occurred while creating or attaching to JVM. Details: System.DllNotFoundException: Unable to load DLL 'jvm.dll': The specified module could not be found. (Exception from HRESULT: 0x8007007E)
   at JNI.JavaVM.JNI_GetCreatedJavaVMs(IntPtr& pVM, Int32 jSize1, Int32& jSize2)
   at Microsoft.SqlServer.DataWarehouse.Hadoop.HadoopBridge.JavaBridge.LoadOrAttachJVM()'

I have reinstall JDK on the server, but it won't help.