There is a couple of logged bugs about this issue, but it's no longer possible to comment on those. So for anyone interested, this seems to be the solution.

When you create the login auth URL, include the extras field with this setting: &extras={"setup":{"channel":"IG_API_ONBOARDING"}}

This field takes the user through the IG business account onboarding and it includes prompting for permissions.

Also see step 1. here: https://developers.facebook.com/docs/instagram/business-login-for-instagram