I furthermore also tried to authenticate using a user-assigned managed identity. In detail, I performed the following steps using Terraform:

1. Create a user-assigned managed identity in the same resource group as the databricks workspace
2. Create a databricks service principal setting 'application_id' to the client id of the managed identity. 
3. Assign the managed identity the "Contributor" role on the subscription in which the databricks workspace is located.
4. Declare a databricks provider setting 'azure_use_msi' to true, 'host' to the databricks workspace url, 'azure_workspace_resource_id' to the resource id of the databricks workspace, and  'azure_client_id' to the application id of the managed identity.
5. Create a databricks token using said provider

The same error ("Identity not found") occurs during the terraform apply of step 5 (token creation). I also tried creating other resources, they all fail with above-stated error message. @alexott, do you have a suggestion?

Thanks a lot for your support!