Module Keras/tensorflow_probability not found when importing Parametric UMAP

When I want to import the Parametric UMAO (from umap.parametric_umap import ParametricUMAP) I get the following error:

C:\tools\miniconda3\lib\site-packages\umap\parametric_umap.py:45: UserWarning: Global structure    
        preservation in the umap.parametric_umap package requires 
        tensorflow_probability to be installed. You can install tensorflow_probability at
        https://www.tensorflow.org/probability, 
        
        or via

        pip install --upgrade tensorflow-probability

        Please ensure to install a version which is compatible to your tensorflow 
        installation. You can verify the correct release at 
        https://github.com/tensorflow/probability/releases.

        warn(
       ... 
        ModuleNotFoundError: No module named 'keras'

But I have keras 2.6.0, tensorflow 2.6.0 and tensorflow_probability 0.14 installed.
(Python 3.9.7 on Win 10 Pro)

Start with the import in umap/parametric_umap.py and reproduce the failure using the reported Python 3.9.7, Keras 2.6.0, TensorFlow 2.6.0, and TensorFlow Probability 0.14 environment. Trace why importing ParametricUMAP reports that keras is missing despite the installed packages; done means the import works or the incompatibility is clearly handled and covered by an appropriate regression check.