Sign in to Work or School requires a compatible MDM. If you are trying to use a personal Apple ID on that page, it will show that error because you do not have an associated Apple ID with Apple Business/School Manager and cannot sign up for it using that page. It's a weird error, and unless your device shows a profile in Settings > General > VPN & Device Management, you are not managed by MDM. You may see a wireless profile in there as some providers encourage you to install it when using their App. iOS, iPadOS, and macOS devices cannot be enrolled into MDM unless they were purchased by an organization that uses an authorized reseller connected to their Apple Business/School Manager, or unless they have physical access to your device to manually enroll. You will know at device setup whether or not either of these is the case.