The answer is Yes!.
Just finishing a service request following the instructions placed on this URL but with a limitation:
- Service Principal of the Managed Service Identity is not currently supported.
- It is supported if you register an application in Azure portal > Azure Active Directory > Application registration.
Just to mention that there it not possible to use SQL SERVER Management Studio to connect using Service Principals and you need to use a C# to be able to connect using it.
In summary, once you have created, the service principal just only need to add as a Azure Active Directory User.
- I created a service principal with name JMAppl
2. Using SQL Server Management Studio and connected with the Azure Active Directory Admin user of my Azure SQL Server I executed the following TSQL in the database that I wanted to add, and it worked correctly.