Veeam Backup for Microsoft 365 Modern Authentication and Legacy Protocols Authentication requires that you grant permissions to Azure AD applications to back up and restore data from/to your Microsoft 365 organizations.
When you add organization using the modern app-only authentication method, the permissions for Azure AD applications that are granted automatically by Veeam Backup for Microsoft 365.
Anyway, if you prefer to use a custom application of your own, make sure to grant all the permissions as below.