Hi, @Brett Green Welcome to Microsoft Q&A thanks for posting your question.
SQL Agent PowerShell jobs are not supported, but are not blocked either. We know that few customers do use them, but we also know that it’s not fully working (e.g. you cannot install/import/update a PowerShell module). What you’ve described is not a pattern that’s supported, as accessing local file is not supported, even though it might happen to work.
Below is the workaround you may try.
If your PowerShell scripts are outputting CSV or Parquet files, you can use the CETAS (Create External Table As Select) feature in Azure SQL Managed Instance to export the data to Azure Blob Storage. CETAS allows you to create an external table that references data stored in Azure Blob Storage. CETAS feature
You can then use a SELECT statement to query the data and export it to a CSV or Parquet file in Azure Blob Storage Also a blog post here.
It helps you export data that's an output of a SELECT statement into a storage account (ABS). This has nothing to do with PowerShell scripts writing data, but perhaps it still checks the box if you could export straight thru T-SQL?
Another alternative would be to run ADF or some external solution that would pull out the data from SQL MI to a desired destination, rather than pushing the data out via SQL Agent.
Regards
Geetha