Hi,
According to my search, PowerShell job step is not supported in Azure SQL Managed Instance.
https://learn.microsoft.com/en-us/azure/azure-sql/managed-instance/transact-sql-tsql-differences-sql-server#sql-server-agent
Anyway, this forum (sql-server-general) currently applies to SQL Server on-premises. For question about Azure SQL, please add the corresponding tags.