New-CMDeviceCollection Fails With Error Not Found

Problem:

PS > New-CMDeviceCollection -LimitingCollectionName "All Systems" -Name "Test Collection"
New-CMCollection : Not found
CMPSNoMask = True
At C:\Program Files (x86)\Microsoft Endpoint Manager\AdminConsole\bin\AdminUI.PS.psm1:170 char:9
+         New-CMCollection -CollectionType Device @PSBoundParameters
+         ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
+ CategoryInfo          : NotSpecified: (Microsoft.Confi...s.NewCollection:NewCollection) [New-CMCollection], WqlQueryException
+ FullyQualifiedErrorId : UnhandledException,Microsoft.ConfigurationManagement.PowerShell.Cmdlets.Collections.NewCollection

Solution:

Make sure to run PowerShell as an administrator AND with a user that has permission to create collections!