I don't believe it is supported in developer mode. when you run dev mode, the .net 6 app starts a node express web server (actually just npm start which does it) to host the react code. the node web server does a reverse proxy to the net 6 webapi server.
the node express server does not support windows identity.
if you do publish to IIS and configure windows identity it should work.
note: this is reverse of .net 5, in which the spa services reverse proxied to the node server. this why windows identity works in .net 5 projects.