Yep you are going down the same rabbit hole I went down. But it doesn't work with an App registration in Azure AD for authentication for automation. But I finally figured it out.
The root of the problem is that Microsoft is transiting PowerShell commands away from anything using the "Ms" label to "Mg" label which is really confusing if the cmdlet doesn't actually have "Ms" in its name.
So here is what I learned and got working in terms of automation.
Old commands use Connect-MsGraph to authenticate new commands use Connect-MgGraph, so if you want to fully automate your logins using an App ID in Azure AD you have to use the new Connect-MgGraph like so.
Connect-MgGraph -ClientID YOUR_APP_ID -TenantId YOUR_TENANT_ID -CertificateName YOUR_CERT_SUBJECT
Then you run the associated Get-Mg* commands.
In my case the following commands, Ms based, were replaced by the following Mg commands. Event though they didn't have Ms in the cmdlet.
Get-AzureADAuditSignInLogs gets replaced with Get-MgAuditLogSignIn
Get-IntuneManagedDevice gets replaced with Get-MgDeviceManagementManagedDevice