Hey,
In order to use AD integrated auth, ADFS must be enabled in Azure AD.
So please verify whether ADFS is enabled or not :
1) login to this URL https://portal.azure.com/#blade/Microsoft_AAD_IAM/DirectoriesADConnectBlade
and check whether federation is enabled or not
https://stackoverflow.com/questions/65662072/connection-to-azure-sql-via-active-directory-integrated