Azure SQL Data Sync does not support Azure Active Directory authentication. It only supports SQL authentication to connect to Azure SQL.
When you install the SQL Data Sync agent you can connect to the local SQL Server instance (on-premise) with a local Windows user or a SQL login.
To demonstrate that SQL Data Sync does not support AAD authentication, you can read here that Azure SQL Databases that were created to support only Azure ADD are not supported by Azure SQL Data Sync.