The official tutorial Use the REST APIs, (currently) only covers the Apache Atlas endpoint.
Microsoft actually mentions in Deployment best practices that it is recommended to use the "REST API route" to manage "scan rule sets" (and several other tasks).
My guess is, that managing Purview high-level configurations, such as connections & scans, is done via another non-Atlas endpoint. But I have not been able to find any official documentation on this.
You can use the Azure Purvice CLI (3rd party Python CLI) to complete your task. Specifically, the scan feature:
pv scan run --datasource=<val> --scanName=<val> [--scanLevel=<val>]
UPDATE: According to this purviewcli illustration, there are 3 main endpoints "catalog", "scan", and "guardian".
UPDATE 2: Here is the documentation on the Purview Scans REST API