Hi Toby,
Please make sure you have an existing Azure Load Testing (ALT) resource before you attempt to create a Test from your web app. To do this via Azure portal you can navigate to below link. click Create, fill out required information, etc., and wait for the deployment to finish:
https://portal.azure.com/#browse/Microsoft.LoadTestService%2FLoadTests
Once you have your ALT resource, navigate back to your Web App -- Performance -- Load testing blade and create test as you were attempting before. You should no longer see the error, and in the Load testing resource box the above ALT resource you created should already be selected.
Please click Accept Answer and upvote if the above was helpful.
Thanks.
-TP