@Moritz Knorr Thanks for posting your query on Microsoft Q&A.
If you would like to follow the approach from the link, it is required that you use hybrid user identities. Cloud-only users aren’t supported to authenticate to Azure files.
Another approach would be to use Azure AD Domain services (AAD DS), but this also comes with some limitations like - an AVD setup with AAD DS doesn’t support SSO to the service and hybrid join of your session hosts, if you need this.
Cloud-only user support for Azure files is a backlog item on the Azure Files team they are working on. No ETA to share currently.
Hope that helps you plan your setup.
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