Good news on both counts. Neither of these means your NSP setup is broken.
On the MissingIdentityConfiguration issue, you can ignore it for what you're doing. It's a generic Azure NSP advisory, not a Databricks problem, which is why you didn't find it called out in the docs. Azure wants any resource that calls other resources inside or across the perimeter to authenticate with a managed identity, and it nudges you toward that by default. The tell is right there in the issue details: provisioning state is Succeeded, and the suggested access rules, resource IDs, and fix all come back as None. Nothing is actually being blocked, and Azure's own wording says some capabilities keep working without an MI.
The reason it doesn't apply to you is the direction of traffic. The guide has you create a single inbound rule (service tag AzureDatabricksServerless.<region>) so serverless can reach your storage. Your storage account is on the receiving end. Serverless reaches in to read, your storage isn't reaching out to call other perimeter resources, and outbound resource-to-resource calls are exactly what the MI recommendation is about. It also helps that you're in Transition mode, which evaluates the NSP rules first and then falls back to the resource's existing firewall, so legitimate traffic isn't denied while you validate. So leave it for now. Enable a system-assigned managed identity later, if and when you add perimeter resources that have to authenticate to each other.
On the LOCATION_OVERLAP error, yes, that's expected, and you've got the reason right: it's because everything goes through UC managed storage. This one is a Unity Catalog guardrail, not an NSP failure. The path you copied sits under __unitystorage/.../tables/..., which is UC managed storage, and UC deliberately refuses direct cloud-path access to managed locations. It rejects the request up front in that CheckPathAccess call, before any network read happens, so the error tells you nothing about NSP either way. The Verify step's delta.abfss://... example is meant for a normal external ADLS path, not a managed-table path pulled from the table's Details tab.
When everything is UC-managed, validate a different way. Query the table by name on serverless, something like SELECT * FROM catalog.schema.table LIMIT 10. Serverless still reads the underlying files over the network, so a clean result confirms the inbound NSP rule is doing its job. The delta.abfss://.../__unitystorage/... form will always fail no matter how your networking is set up. If you'd rather use the doc's direct-path test, point it at an external location path outside __unitystorage. To confirm at the network layer, use the guide's Monitor NSP activity step: send Diagnostic settings (StorageRead and StorageWrite) to Log Analytics and check whether each request was allowed by the NSP rule or by the resource firewall.
Short version: the MI warning is safe to ignore for serverless reaching storage, and the LOCATION_OVERLAP error is UC protecting its managed storage, exactly as you'd expect. Validate by querying the table by name and watching the NSP logs, not by hitting a managed path.
Hope this helps, Louis.