At this moment it is not possible to use Azure AD Integrated Authentication on MDW instances. You can select this setting in the portal but it is not working in the Desktop Client.
More and more customers want to use AD integrated authentication (MFA) in their applications. Azure Active Directory enables you to have single place for user management instead of different SQL accounts for each SQL server/database. It is also recommended by Microsoft to use AD Integrated Authentication. One reason is that this makes it possible to trace different user activity on the SQL server. This is not possible when all developers use the same SQL account when connecting to the SQL server.
Please make it possible to use Azure AD Integrated Authentication on data warehouse instances.
