Thanks for reaching out to Q&A forum.
As per the Eventgrid documentation, Azure functions is not a supported handler for the AzureAD or MSI authentication methods. For Azure AD and MSI, only webhooks are supported. So I would suggest you to create a http trigger function and expose it as a webhook endpoint. This webhook can be integrated with Azure AD so that the events can be authenticated.
Feel free to reach out to me if you have any queries or concerns.