I'm glad that you were able to resolve your issue and thank you for posting your solution so that others experiencing the same thing can easily reference this!
Since the Microsoft Q&A community has a policy that "The question author cannot accept their own answer. They can only accept answers by others ", I'll repost your solution in case you'd like to "Accept " the answer. Accepted answers show up at the top, resulting in improved discoverability for others.
Issue: Customer was getting the following error when trying to log in to Azure with Azure CLI: Failed to authenticate my guid 'Default Directory' due to error '(pii). Status: Response_Status.Status_InteractionRequired, Error code: 3399614476, Tag: 557973645'
Solution: Cx shared - "I needed to specify the tenantid, I just had to do it once and from then on it worked with the basic login command. Try this:
az login --tenant <TenantID>
If your issue remains unresolved or have further questions, please let us know in the comments how we can assist. We are here to help you and strive to make your experience better and greatly value your feedback.