Can't use D3D11 Device Debug flags on Windows Server 2019

I get this error:

D3D11CreateDevice: Flags (0x2) were specified which require the D3D11 SDK Layers for Windows 10, but they are not present on the system.
These flags must be removed, or the Windows 10 SDK must be installed.
Flags include: D3D11_CREATE_DEVICE_DEBUG

error: 0x887a002d

I've tried:

• Installing Graphics Tools
• Re-installing Windows 10 SDK
• Rebooting after the above

Relevant code:

DX_CHECK(D3D11CreateDevice(nullptr, D3D_DRIVER_TYPE_HARDWARE, nullptr,
                                 creation_flags, feature_levels,
                                 _countof(feature_levels), D3D11_SDK_VERSION,
                                 &device_, &feature_level, &context_));