A case of OneDrive Personal Vault not coming up (0x8031000a, MDM, GPO and BitLocker)

Today I wanted to enable the Personal Vault feature on my Home PC. While following the wizard I got an error 0x8031000a "Your organization requires your device to join the domain before you can use the Personal Vault". What does this have to do with MDM. GPO and BitLocker troubleshooting? Here's some quick Friday entertainment!...