MSDTC is fully supported on SQL Server IaaS (SQL Server on VMs).
However, MSDTC is partially supported on Azure Managed Instance as mentioned here. Read the following excerpt:
"Partial support for distributed transactions is currently in public preview. Distributed transactions are supported under following conditions (all of them must be met):
all transaction participants are Azure SQL Managed Instances that are part of the Server trust group.
transactions are initiated either from .NET (TransactionScope class) or Transact-SQL.
Azure SQL Managed Instance currently does not support other scenarios that are regularly supported by MSDTC on-premises or in Azure Virtual Machines."