When you move to Entra ID joined AVD VMs, you can no longer use GPOs because they rely on Active Directory or Entra Domain Services. Instead, organizations typically shift to Microsoft Intune (Endpoint Manager) for policy management. Microsoft Intune supports:
- Device configuration profiles (security baselines, settings, etc.)
- PowerShell script deployment
- App installation (Win32, Store, etc.)
- Conditional access and compliance policies
You might consider combining baseline images or Azure Image Builder (to pre-bake certain policies and local GPO settings into the image used for AVD VMs) with custom scripts, but obviously this increases the management/maintenance overhead.
Regarding your second question, as per https://learn.microsoft.com/en-us/azure/storage/files/storage-files-identity-auth-hybrid-identities-enable?tabs=azure-portal%2Cintune, Microsoft Entra Kerberos authentication for Azure Files (used by FSLogix) for cloud-only Entra ID users is not supported.
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hth
Marcin