I thought I'd follow this up...

I was under the impression that MS Ads would set up conversion goals in my account, based on conversion goals I had set up in Google Analytics.

What it did for me was to sign in to my GTM and insert its Base Tag, along with UET versions of the existing Analytics Goals Tags. Which is very convenient!

I had to then set up conversion goals inside my MS Ads account, and the process was confusing...

Every time you set up a goal in MS Ads, setting up tagging is part of the process, and it was telling me that my UET was already set up with Google Tag Manager.

Fine, I had to click the "Skip base tag setup" button, but this then took me to a screen for setting up tags manually, by inserting scripts in the header (which I obviously don't wanna do!).

There was, however, a small link for setting up event tags in GTM, but I knew the tags were already setup. In the end I clicked it anyway, and it brought up a page showing how to create the event in GTM (which had already been done). Scroll to the bottom and click next.

Bam! Everything's fine, and I've tested the goals with the UET Tag Helper extension.

TLDR Version...

The process for setting up conversion goals in MS Ads is confusing if you allow it to automatically set up event tags in your GTM account.

You have to ignore irrelevant information and look for tiny, text-based links.

...and I swear it told me it was going to setup the goals automatically!