Your error on the attachment tells me that there may be problems with your TLS client keys and certificate. Please double check that +amazon-freertos\demos\include\aws_clientcredential_keys.h+ has keyCLIENT_CERTIFICATE_PEM and keyCLIENT_PRIVATE_KEY_PEM defined appropriately.
Also make sure that your thing name is filled out in +amazon-freertos\demos\include\aws_clientcredential.h+ in clientcredentialMQTT_BROKER_ENDPOINT.
AWSIoTFullAccess and AmazonFreeRTOSFullAccess are policies attached to your AWS account/user. The policy attached to your thing is attached to the certificates associated with your thing. Please see https://docs.aws.amazon.com/freertos/latest/userguide/get-started-freertos-thing.html for information about attaching a policy to the certificates associated with your thing.
After following all of the above advice go ahead and try building and running the MQTT demo on the ESP32 device again.