When the following warning is seen in ConfigMgr console: "You do not have permission to manage Extensions for Windows intune. You need All scope permissions to manage these extensions", just take the following action. It's not that hard to chance at all ;)
Just login ConfigMgr console (with another Administrator account then the one which gives the warning), and go to Administration > Security > Administrative Users. Select the account which gives the warning, choose properties, Security Scopes, and select "All instances of the objects that are related to the assigned security roles".
By default this option is on "Only the instances of objects that are assigned to the specified security scopes or collections". After changing the option, and starting the ConfigMgr console with the Administrator account used before, you will see that Extensions for Windows intune are available now. What I say before, not that hard at all ;)
Hope it helps!