Hi @howardgagan ,
Each Azure Databricks workspace has an associated Azure storage account in a managed resource group known as the workspace storage account.
This storage account includes workspace system data (job output, system settings, and logs), DBFS root etc.
Good news is that you don't need to and even you shouldn't store your data on that managed storage account. The recommendation is to use Unity Catalog with your own storage account (and here you have full control how to configure it)
You can try to improve your security risk score by enabling firewall support for this workspace storage account. You can read how to do this at below link:
Enable firewall support for your workspace storage account - Azure Databricks | Microsoft Learn
In case of preventing shared access key support - here you need to ignore this risk assessment, because you can't change any setting within managed resource group