Better tests for Azure Managed Identity

[adamrtalbot]

In a rush to get it done, we didn't include full unit tests for the Azure Managed Identity (#4897). We should increase the code coverage around Azure authentication to include:

• Unit tests for Azure authentication via keys, service principal or managed identity
• Integration tests for Azure with Service Principal instead of keys
• Integration tests for managed identity (note: not clear if this is possible without running on an Azure VM).