Regarding your question about the securityAlertPolicies API, this is the old API for enabling Microsoft Defender for SQL on the SQL server. The storage account-related fields mentioned are not relevant anymore. We recommend using the new API: Microsoft.Sql/servers/advancedThreatProtectionSettings. Detailed information can be found here.
To clarify, SQL Advanced Threat Protection (ATP) does not require a storage account, which means there's no need for managed identity support for this particular purpose. I highly suggest using our new API: Microsoft.Sql/servers/advancedThreatProtectionSettings, and you can enable this simply by setting the state to "Enabled."
I hope this clears up any confusion. Please let me know if there's anything else you need.
Regards,
Oury