@A Lee Thanks for reaching out.
On prem GMSA are not synced to azure AD as of today. Many of the azure services utilize AAD managed identity for Authentication and since we don't sync it, the GMSA never really gets any AAD specific Identity to use for Azure services.
If you have Azure AD Domain Services, you can create a GMSA there if it fits your need.
https://learn.microsoft.com/en-us/azure/active-directory-domain-services/create-gmsa
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