Microsoft 365 users can create distribution lists, manage and delete distribution lists they own, and manage their membership in distribution lists of which they are members.
To do this, you need to access this address: https://admin.cloud.microsoft/exchange?page=groups#/
Knowledge base with details on how to access this: https://support.microsoft.com/pt-br/topic/grupos-de-distribui%C3%A7%C3%A3o-e8ba58a8-fab2-4aaf-8aa1-2a304052d2de#bkmk_create
Note that in the Microsoft knowledge base, the evolution of distribution lists is presented, called "Microsoft 365 Groups," with more features.