@Carpender correcting my comment above, Databricks assigned Managed Identity is working and we are able to access but as stated in the original question we are looking for authorization using User Assigned Managed Identity (UAMI). With UAMI we cannot even create a token as the UAMI cannot be assigned/binded to Databricks like other Azure 1P resources. It throws exception as below

Caused by: MsalAzureSDKException: java.util.concurrent.ExecutionException: com.azure.identity.CredentialUnavailableException: ManagedIdentityCredential authentication unavailable. Connection to IMDS endpoint cannot be established.
Caused by: ExecutionException: com.azure.identity.CredentialUnavailableException: ManagedIdentityCredential authentication unavailable. Connection to IMDS endpoint cannot be established. 
Caused by: CredentialUnavailableException: ManagedIdentityCredential authentication unavailable. Connection to IMDS endpoint cannot be established.