@Roman King Thank you for reaching out to us.
Noticed you have posted similar query in stackoverflow https://stackoverflow.com/questions/71502731/user-agent-from-azure-sign-ins-via-ms-graph-powershell, where one of the community member have answered it.
Reviewed the answer and looks good to me, i am updating the same here if anyone looking for similar issue on QnA will help them.
UserAgent doesn't exist on the default 1.0 Graph endpoint, but it does on the beta endpoint:
https://learn.microsoft.com/en-au/graph/api/resources/signin?view=graph-rest-beta
So after using Connect-MgGraph, enter Select-MgProfile -Name beta and try your Get-MgAuditLogSignIn again; you should have a UserAgent property.
Let me know if you have any questions.