Hey
I am not sure whether we can leverage Managed Identity to access Azure SQL database from Databricks notebook because one would need environment variables that do not exist in the Databricks instance, like IDENTITY_ENDPOINT and IDENTITY_HEADER in reference to below doc:
You can leverage service principal auth :
https://www.thedataswamp.com/blog/databricks-connect-to-azure-sql-with-service-principal
or upvote
button whenever the information provided helps you.