Issue
When an item is created via the Create List Item action, the workflow will not be triggered even when it is configured to start on item creation.
Resolution
Use the 'Office 365 Create List Item or Document Set' action instead of 'Create List Item' action.
Additional Information
This is by design and can be replicated via SharePoint Designer. SharePoint Online prevents workflows from recursively starting additional workflows. However, using the 'Office 365 Create List Item or Document Set' allows an item to be created under a set of credentials, allowing recursive workflows to be started as expected.