After some more research:
https://learn.microsoft.com/en-us/azure/data-factory/concepts-roles-permissions
Specifically:
Set up permissions
After you create a Data Factory, you may want to let other users work with the data factory. To give this access to other users, you have to add them to the built-in Data Factory Contributor role on the Resource Group that contains the Data Factory.
This was not intuitive to me, but it resolved the issue.
The following are NOT sufficient to access ADF resources for a User-assigned Managed Identity
- Owner of the Data Factory
- Contributor of the Data Factory