Connecting from Azure Databricks to Azure SQL using User Managed Identity

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I am trying to read data on an Azure SQL instance from an Azure Databricks workspace, avoiding using username/password personal credentials for automated, regular data fetch & analysis. I thought using a managed identity would do the job, however it looks to be less smooth than with Azure Functions or Web Services. Is this supported in Databricks?

I would need environment variables that do not exist in the Databricks instance, like IDENTITY_ENDPOINT and IDENTITY_HEADER, following the doc https://docs.microsoft.com/en-us/azure/app-service/overview-managed-identity

Any insight would be greatly appreciated!

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